Which Oil Do I Use?

The oil you use can be related to how you use it. Different oils have a specific "smoke point". The smoke point is the specific temperature at which the oil starts to break down or its molecular structure starts to change, degrading not only the flavor but the nutritional value as well, thus changing what was once considered a healthy oil into one that is unhealthy.
Here's a guide for using oils.

No-Heat
Oil - Flaxseed
Best Use - Salads

Low to Moderate Heat
Oil - Coconut, Corn, Olive, Sesame, Walnut
Best Use - Baking(low heat), Light Sautéing, Pressure Cooking, Salads

Medium Heat
Oil - Macadamia Nut, Peanut, Safflower, Canola
Best Use - Baking(medium heat), Sauteing, Stir-Fry

High Heat
Oil - Avocado, Grapeseed, Sunflower, Soybean/Soy
Best Use - Deep Browning, Deep-Frying, Searing

Especially healthy oils - Olive, and Flaxseed is rich in Omega-3s.
Most oils we buy are refined and have a higher smoke point so be sure to choose those for extremely high heat cooking. Unrefined oils have a richer flavor and are more nutritious.

From the article: Why olive oil is bad for your stir-fry
http://shine.yahoo.com/channel/health/why-olive-oil-is-bad-for-your-stir-fry-580576/