Below is a simple list of the most commonly used oils for frying. Each has what is called a "smoke point" which means the temperature at which is begins to smoke. When the oil begins to smoke it has reached the temperature at which it breaks down and consequently begins to taste bad. I stole this from Wikipedia and modified it. Temperatures are from high to low.
Oil | Quality | Smoke Point |
Canola oil | Refined | 470°F |
Olive oil | Extra light | 468°F |
Corn oil | Refined | 450°F |
Peanut oil | Refined | 450°F |
Soybean oil | Refined | 450°F |
Cottonseed oil | 420°F | |
Olive oil | Virgin | 420°F |
Olive oil | Extra virgin | 375°F |
Lard | 370°F | |
Vegetable shortening | 360°F |