Apart form the obvious health issues associated with various oils, when choosing one to use you may wish to consider what temperature your oil can handle. While butter or olive oil maybe great for lightly sautéing garlic, pan searing a steak on the other hand with either would result in a lot of smoke & a nasty burnt taste. The chart below should help you choose the appropriate oil for your cooking needs.

Burning Temperature for Oils
Safflower Oil
450 degrees
Peanut Oil
450 degrees
Canola Oil
435 degrees
Corn Oil
410 degrees
Olive Oil
375 degrees
350 degrees
Cooking - Oil Temperatures