Oils, like many other foods have specific characteristics... for example the temperature at which they are meant to be used. With oils in particular these suggested temperatures are called smoke points. Some oils offer the most health benefits at lower temperature and may oxidize (or form cancer causing compounds) if heated. Other cooking oils are designed to be used at high temperatures and can hold up to them without oxidation.
Olive oil is a prime example of an oil that is designed to be used at room temperature or in cold preparations. Ideally, we'd all use olive oil in salad dressings, as a dip for toasted bread, as a fat source in smoothies, etc. Olive oil has a low smoke point, therefore, the oil oxidizes at low temperatures and the health benefits are negated. Olive oil is a very healthy source of fat and used in the correct application is loaded with great nutrition.
Coconut oil, Sesame oil and Peanut oil are a few examples of oils that have medium to high smoke points and are great for sauteeing, pan-frying, and for greasing pans to roast or bake vegetables, meats, breads, etc. These oils are naturally able to handle the heat and have less chance of oxidizing.
My favorite cooking oils of choice are Olive oil and Coconut oil! Although, many nutritionists encourage the use of canola oil because it is very versatile and cheap... I'm unsure of it because it is predominantly from highly genetically modified organisms (GMO). Since GMO foods are relatively new we're unsure in a long-term perspective what effects these foods have on the body and it's biochemical processes.
When you take the time to buy good quality oil you can taste and smell the difference. Opt for oils that are stored in glass containers opposed to those stored in plastic to protect the quality, flavor, and characteristics of the oils. With olive oils in particular look for green tinted containers. Choose cold-expeller pressed oils that are either fresh or first press. Cold-expeller pressed oils have less chance of oxidation and fresh or first press oils ensure you're getting the best quality.