There are two basic steps involved for a fat to go rancid. First is the fat partly or completely breaks down into fatty acids. These "free fatty acids" (FFA) are always present to some degree in any fat, rancid or sweet. Read about olive oil grading and you'll see discussion about acid levels, to learn more about this.
The closer a fat is to smelling and looking rancid, it probably has a high % of FFA, however. Sooner or later, these free fatty acids react with oxygen or water (a source of oxygen) and at that point they become rancid -- smelly, discolored, etc.
When you make soap with a fat that has a high % of FFA, it might not smell or look rancid (and it really isn't rancid!), but the soap will trace faster than usual, because the FFAs react very quickly with the lye.
If you read the shaving soap threads, you'll see folks often use stearic acid as part of the shaving soap recipe. The stearic acid is one type of free fatty acid and it instantly turns the soap batter into "mashed potato" consistency when the lye is added.
You can blend in small amounts of rancid fats with fresh fats in a soap recipe as DD suggests. Or you can wash the fat with water to remove some of the odor and discoloration. See Grayce's post #15 in this thread:
http://www.soapmakingforum.com/showthread.php?t=32717&page=2 There are a few other threads in SMF on this topci, but Grayce's post is pretty much what folks usually do to clean up rancid fats.