Oils are an essential part of cooking. We use them for cooking, baking and as a finishing element in food.
I am not going to talk about the nutritional aspects of different oils or tell you which one you should use in your cooking, that is a matter of personal preference, but I want to cover a few basics about oils and cooking.
The most important thing to remember is that oils have different smoke points.
This means that when an oil is heated up to a high temperature, an oil with a low smoke point will start smoking and burning whatever you are cooking at a much lower temperature than an oil that has a high smoke point. You should never use an oil that has a low smoke point when you're cooking something at a high temperature, like searing a steak, making stir fry, sauteing and especially frying.
High Smoke Point Oils: canola, vegetable, peanut, sunflower, safflower, soybean, corn, grapeseed.
Low Smoke Point Oils: olive oil, extra virgin olive oil, coconut oil, butter.
Butter isn't technically an oil, but I wanted to include it hear to show you shouldn't be cooking with butter if you need to use a high temperature. If you've ever wondered why whatever you're cooking seems to be burning without cooking through quickly enough, this may be the reason why.
A trick that I use sometimes is to use half olive oil/butter and half canola oil if I want to have the taste of butter or olive oil, but need to cook my food on a higher temperature.
If you're cooking something in butter or olive oil, keep the temperature at a medium or low heat. 
Low smoke point oils are great to finish a salad, or add a small drizzle to soup, use in sauce, roasting vegetables in, etc.
I found a really great chart about oils that includes smoke points and the percentage and types of fat in each oil (saturated, mono and poly fats).
Oils in baking:
Oils in baking should have no flavor or a very mild flavor, unless you want to taste that flavor in the finished product. I enjoy the taste of olive oil, but not in my cookies. 
How To Store Oils:
Most oils should be stored in a dark pantry. Oils DO go rancid, especially olive oil. Don't buy olive oil in bulk, unless you will use it up quickly.
Strong sunlight will oxidize the chlorophyll in the oil, producing stale, harsh flavors. Heat also plays a role in causing oil to go rancid, so storing it in the refrigerator will help prolong the shelf life of your oil. I simply don't buy oil in bulk, so I keep it stored in my closed pantry.
Shelf life for most oils: 1 year if unopened, 3 months if opened.
What kind of oils are in my pantry?
Canola, sunflower, olive and extra virgin olive oil.
Am I a supreme authority on oils? No way! This is just my personal preference. By no means do you need to use the same oils that I do.
Canola is my all-purpose oil, olive oil I like to use for Italian sauces, roasting veggies in the oven and in salads.
I have a really handy oil dispenser standing right next to the stove. I love it! Pouring oil from this dispenser is very neat and efficient. Since I use it up pretty quickly, it doesn't get a chance to go rancid standing on the counter.
I don't use sunflower oil in many things, mostly in dishes that I want to get a nostalgic Russian taste, like some salads and pan fried potatoes, etc. In the former Soviet Union countries, sunflower oil was very popular. Many years ago it was one of the only available oils.
Here's a great article about choosing healthier oils. It's very informative but doesn't go into too much scientific mumbo jumbo.
And here's another great article about oils from Whole Foods.
Hi, Olga
What kind of oil do u use when frying чебуреки и окрошки беляши? I make чебуреки from dough. I was out of canola oil,so I tryed vegetable oil & the oil started splattering all over,do u know why? I fry all of this stuff medium low temperature. God bless you Olga, & thanks for sharing all of the recipes u share. Iv tryed almost all of your recipes and they r good.😊👍💐💖
You can use any high smoke point oils, such as peanut, canola, grape seed, avocado, etc.
I like to use grapeseed oil for frying.
I like grape seed oil and peanut oil for frying too.
I use olive oil and only. I have one kind specifically for frying and baking and another one for salads. I heard that Canola oil is unhealthy 🙁 what do you think about these thoughts?
Olive oil doesn't do well when you need to cook on high temperatures, and the food has a tendency to burn. I love to use olive oil for most recipes, like salads or roasting, or sautéing something.
I use canola oil mostly for frying food, in which case it's not healthy anyway,and I don't do it very often.
I know there are other options to use for frying. I'm still trying to figure it out as well.
do you ever use veg oil?
No, Olga, I don't use vegetable oil.
I use pure olive oil for sauteing and for salads I use extra virgin olive oil and sunflower oil sometimes. I also use coconut oil for baking
We like the extra light olive oil from Costco for most of our cooking because it has a pretty good smoke point :).
I like the light olive oil too. It's great.
Great post. I'll show this to my husband, who thinks its much healthier to switch ALL cooking to olive oil, and I tried it, didn't like it for the reasons you posted above (smoke points, taste, etc), so we still have regular mazola corn oil that I use for most of my cooking.
Do you have any thoughts on margarine vs. butter? I tend to use mostly butter, including some light sauteing, unless a recipe calls for margarine instead.
Oksana,
Personally, I never use margarine, only butter.
Thanx for informative post! As a young and unexperienced cook I used to buy light olive oil and use it for everything I needed :baking, frying, etc. I had no idea why only after a 5-10 minutes of searing anything my smoke detector would go off! I felt like I am such a terrible cook! Then I learned about different smoke points, I think I first read about it on this blog, WOW, switching to canola made such a difference! Now I use extra virgin olive oil for dressings and canola oil for cooking.
I'm so glad you found it helpful:). Olive oil DOES burn really quickly if cooked on high heat.
I use olive oil for everything except baking. I also love the taste of sunflower oil in salads. Because there is so much variety to choose from, I never use the same type/brand of olive... Enjoy trying new favors and brands.
I like sunflower oil in salads too. Must be the Russian in me:).
I love cannola oil but I use organic one, Spectrum brand is a good one. Also coconut oil is great for baking.
Coconut oil gives such a pleasant taste to baking too:).
Great!! Thank you for the helpful information. 🙂