Danger, Will Robinson!
Follow yclepts' advice to let the pan cool down before taking the lid off to vent the smoke. I didn't.
I live in an apartment, so I thought it would be a good idea to take the pan to the window to vent the smoke. Still hot, I took the pan with me and opened the window.
I knew the whole process probably would trigger the smoke detector, so I turned it off beforehand.
The entire arrangement proceeded to catch fire. Surprised, I dropped the pan, landing it on the window sill. To make matters worse, I forgot that opening that particular window will suck air into the apartment, not reverse.
So I'm standing there, in my characteristically messy apartment with stuff on the floor everywhere, with a cast iron pan full of burning vegetable oil billowing white smoke into my apartment, coughing profusely.
In a moment of quick thinking, I grabbed a fire extinguisher, strategically placed on the table next to the window, extinguished the fire, and opened the apartment door and proceeded to breathe.
A few minutes later, I returned, removed the pan, only to reveal this huge burn mark on the window sill.
So, ladies and gentlemen, when seasoning a cast iron pan using the method described by yclepts' -- make sure it's cooled down before the flash point of the oil before removing the lid!
Now the seasoning probably is completely ruined by the powder from the fire extinguisher, and I have to do it all over again.
Or, maybe I should just stick to Teflon. No, that wouldn't work. After all, nothing sticks to teflon. :-)