Healthy fats...so much controversy and fear about them! I love fats, the healthy ones. I've cut out all the unhealthy stuff. These are the ones I regularly cook with: grass-fed ghee and butter, coconut oil, extra virgin olive oils (fresh pressings from California, Greece, and Spain), safflower and sunflower oil. I also like rendered duck fat and rendered fat from organic uncured bacon. I will dress Asian foods with sesame oil but not cook with it. I have a bottle of red palm oil now but haven't tried it yet.
The less an oil is messed with, the more flavors it will have. Like a cold-pressed extra virgin olive oil is going to have stronger olive amora and flavor, and it might even taste peppery. These sorts of oils are actually best used fresh as a dressing or finish on salads or other foods. For example, I love poached eggs with some very strong flavored varietal extra virgin California Ranch olive oil at breakfast. But if I'm going to saute in olive oil, I'll get their Everyday Extra Virgin Olive Oil, which is very mild and can be used to cook practically anything.
I don't do much baking or deep frying any more, but if I do, I'll use sunflower oil. Coconut oil is also nice for baking, but also for sauteing veggies, fish, chicken, etc. It adds a lovely light flavor.
Read about cold-pressed and expeller-pressed here: http://www.spectrumorganics.com/?id=32