COOKING WITH OIL
If you do an internet search on "healthy cooking oils", you're going to find yourself reading some conflicting opinions. To set the record straight on where I stand regarding food in general, the more natural the better. I would be more supportive of cooking with organic unsalted butter than with an oil free of saturated fats that has gone through some ridiculous processing in order to get it into a bottle and on store shelves.
The important thing to know about cooking with oil is that they all have different smoke points. Once an oil reaches a temperature higher than its smoke point, it will start to break down. This is bad nutritionally speaking as well as taste wise. So, while your extra virgin olive oil is a wonderful thing, it's not the be all end all in the kitchen.
Beyond smoke point, the fat base of all cooking oils differs as well as the process the origin food has gone through to extract the oil. In general, cold pressed oils are best because as mentioned above, oils have smoke points that are often reached when processed using heat. Oils obtained through heat based processes will often be put through additional processes (such as bleaching and deodorizing) to make them "edible". (yuck) Not to mention the fact that the beneficial properties have already been compromised. Expeller pressed oils are oils that have been removed from the origin food using a machine rather than chemicals. Also good, but sometimes heat is a factor here as well. So what's the solution? There's a lot to consider, but this article most closely follows my general opinion. The only disagreement I have here is the opinion on olive oil. You can safely and healthily cook with olive oil.
By the way, vegetable oil is often made from (genetically modified) soy and canola oil sucks regardless of what some people say. The information below about why canola oil sucks can be confirmed in many places: