re: Vegetable oil, Olive oil, or butter?

What no one is mentioning here is there are a variety of olive oils used for different applications. Extra virgin olive oil (tasting olive oil) can be used on say a salad or a marinade. They actually make an olive oil with a higher smoke point that you can sauté or even fry with.

I like the neutral flavor of grape seed oil when cooking under extremely high heat. Peanut oil tast good frying fish or chicken. There are a lot of good oils available like the others above noted it's all about the smokepoint at which the oil will burn.