Ran out of suet mid-recipe, did you? Boy, we get more questions like that!
If you're making a traditional steamed pudding, especially a plum pudding, the answer is "no, there is no substitute for suet." Bet you didn't expect that answer, did you?
Suet is the hard fat from around the kidneys of cows and sheep. Do not confuse it with fat from other parts of the animal that may be sold as suet but does not have the same properties. Most of the suet sold in supermarkets these days is suspect, of indeterminate quality and age, and quite likely intended for bird feeders. A butcher would be a more reliable source for suet.
Because suet has a high melting point, it serves as a place-holder in puddings and crusts when the dough has begun to set, and long after other fats would have melted. As a result, the structure of the pudding is already defined by the time the suet melts, leaving thousands of tiny air holes that give the pudding a light and smooth texture. Additionally, suet, which does not have any meaty taste, imparts a rich flavor. The substitution of butter or shortening, especially in a steamed pudding, simply creates a dish that is heavy and greasy.
Needless to say, very few people cook with suet these days, and most run screaming from any recipe that even mentions the stuff. If you can't bear the thought of using suet, you can certainly substitute solid vegetable shortening - which also has a relatively high melting point - for suet in most recipes and few people will notice.