If you’re talking about a small counter top “fry daddy” that you’ll use very often, then Canola or Corn oil is the way to go. High smoking point, decent longevity, and inexpensive enough to use regularly and change often.
If you mean an large outdoor fryer, go with peanut oil. Typically, you don’t use those very often (deep fried turkey!!!), but when you do, the superior peanut oil makes everything just a little bit better........but it’s rather expensive. The last time I bought 5 gallons for my fryer, I paid nearly $40 for it. But, store it in a cool and dark place, and you can reuse it for several fryings. It’s helpful to get an oil pump to siphon the oil out of the fryer for storage.
For chicken wings, the fat from the wings will mingle with the oil of your fryer, so you’ll want to change it regularly. If you just do french fries and the like, the oil will last longer. I love to fry my wings in batches for about 5-8 minutes (till they just start to float) and then take them out and let them drain.
Once all the wings are done, I put them in a large Tupperware bowl with a tight fitting lid, and then drizzle BBQ sauce all over them. Pop on the lid, shake the container well to evenly coat the wings with the sauce, then pour the wings onto a cookie sheet and bake them for 5-6 minutes at 350 to set the sauce. Awesome!