I use it for anything that I'd use another oil or fat for. I bake with it, I use it as a base for sauteeing or frying or making sauces, I use it to season cast iron pans, I use it to add extra fat to lean meat so it doesn't dry out. Anything at all, really.
What kind do you have? The refined palm oil (like Spectrum shortening) really HAS no flavor or odor, so it goes seamlessly with anything. Unrefined palm oil will have a more pronounced flavor and smell, so you'll have to try it and see what you like it with.