There are a couple options, the most popular being Earth Balance. They make tub margarine, stick margarine (firmer), and shortening (pretty much palm oil, if i recall correctly), none of which are hydrogenated. I find that the tub margarine works fine for most baking, but the firmer stick stuff is better for things like croissants and danishes. Earth Balance tubs at Trader Joe's are something like 3.69, and their products are (I think) around 3.99 at Whole Foods. I like the EB tubs for things like chocolate chip cookies and shortbread; it has a good "butter" flavor without tasting artificial.

There's also Spectrum shortening, which is also palm oil (not hydrogenated). It's usually cheaper per oz than the Earth Balance shortening.

Another alternative is coconut oil, which is semisolid at room temp, not hydrogenated, and avoids the whole environmental issue of palm oil. It does have a flavor, though.

For pie crusts, I find partially frozen canola or vegetable oil actually works really well. I often get better, flakier crusts using that than margarines. I often substitute oil for "butter" in things like cakes, where I haven't noticed much a of a difference unless it's something very buttery like pound cake.

For substituting with applesauce, I think it works better to use up to half applesauce (and half fat), because using all applesauce makes things have that "low-fat" taste and changes the texture. Also, it only works if you're ok with making the item cakey (so fine for cake, but would cause crispy cookies to be soft).