Olive oil is highest in healthful monounsaturated fats, but it has few healthy omega-3 fatty acids. You can't use it for high-temperature frying, and it may impart an olive flavor when you bake with it.

Then there's canola oil, which is lowest in saturated fat and has an impressive amount of monounsaturated fat (though not as much as olive oil) as well as more omega-3s than any other vegetable oil. You can use it for both baking and high-temperature frying.

http://www.webmd.com/content/article/134/119060.htm?z=1809_119054_0175_hz_06