I often get asked about which oil is "best" for cooking. Personally I use Australian Extra Virgin Olive Oil (EVOO) pretty much for everything.
EVOO is the highest quality olive oil, made by mechanically pressing olives and applying centrifugal force to separate the oil from water. With its vivid colours and rich flavours it's ideal for salad dressings, eating with bread and drizzling over dishes. High quality EVOO can reach smoke points at temperatures of between 200-215 degrees , making it a healthy option for most types of cooking, including oven baking. EVOO contains natural antioxidants and vitamins A, D, E and K. Research has shown good quality EVOO reduces the risk of heart disease, type 2 diabetes and some cancers. I use Australian EVOO as I've just seen too many reports of european olive oils that aren't 100% EVOO (or even 100% olive oil).
This article provides an excellent summary of which oil to use, when in your cooking.
Although the coconut oil brigade would have you believe otherwise, extra virgin olive oil can be used for frying, roasting and baking. Frying food in EVOO has been shown to transfer the antioxidant phenols from the EVOO to the veggies, improving the quality of the raw foods.
Remember that all forms of fat (whether EVOO, butter or coconut oil) contain the highest number of calories of any macronutrient, and if you eat more calories than your body needs you will gain weight. Being overweight is a leading cause of chronic disease such as heart disease, stroke, Type 2 diabetes, insulin resistance and some cancers. Coconut oil is often held up as a nutritionally superior oil, even being promoted for weight loss, however the study this weight loss claim was based on used very small sample size of 30 women. Don't be under the illusion that coconut oil is a superfood with superpowers. It’s an oil.