This is a contentious subject (my favourite kind!). Most people are still working with the misinformation that seed oils (rapeseed, sunflower, etc) are healthier and better for us than traditional fats and oils such as butter and lard. This is so wrong! Polyunsaturated oils are the most likely to oxidise while on the supermarket shelf (especially in clear plastic bottles!) and the most toxic when heated to high temperatures. Saturated fats are the most stable and therefore cause the least health problems and no, they don’t make you fat – see my fat article here.
Olive oil is the exception. It is high in oleic acid which is mono-unsaturated and therefore oxidises less easily (and it should come in a dark glass bottle). The extra-virgin and virgin forms have added protection in the form of built-in antioxidants: tocopherols which protect it on the shelf and polyphenols which protect it at high temperatures. Read more about the dangers of seed oils here and about olive oil being safe to cook with here and here.
So, to sum up … buy the best olive oil you can afford and use it for ‘gentle’ cooking. I use organic coconut oil or butter for frying and coconut oil for roasting. I really must get around to making my own ghee … that way the watery part of the butter won’t burn in the pan.