There are several differences among cooking oils:
1. Flavor
2. Smoke point
3. Types of fat in the oil
For some applications, the flavor of the oil should be neutral so it does not interfere with the flavor of the foods being cooked. For others, the flavor of the oil adds to the flavor of the dish. Olive and Asian peanut oils are strong flavored.
Oils have different smoke points - the temperature at which the oil begins to break down and just before it starts to burn. For dep frying and saute, you need high smoke point oils such as peanut, canola, corn.
There are several types of fat that can be in oil. Unsaturated, poly unsat., mono unsat, saturated... These are a health issue. Olive and canola oils are loaded with the best types of fats for health reasons.