health concerns aside (on which there are varying opinions), the factors you'd want to consider are "smoke point" for deep fat frying, flavor and cost.
for a guide to the the smoke point of various Oils and Fats see http://www.hormel.com/templates/know...emid=42&id=571
Pick an inexpensive neutral oil with a smoke point of about 450F for deep fat frying or stir fried Asian style dishes. I use corn oil. It has the same smoke point of 450 as the more expensive peanut oil (which is also popular for stir-fried dishes).
Olive oil is a popular choice for general cooking and as a base for salad dressings, marinades, etc.
Certain oils are used more as condiments or as a flavoring component in dressings - they're added at the end of cooking for flavor and aroma. A favorite of mine in this class is toasted sesame oil. See recipe below...
Cooked Chopped Sesame Spinach
If you like spinach (or similar neutral greens), after the spinach is cooked press out the water, coarsely chop and return to a wide pan on medium heat. Drizzle with toasted sesame oil and sprinkle with toasted sesame seeds, mix well, heating through (to bring out the aroma of the sesame oil) and serve.