Oils like canola, corn and sunflower oil are usually labeled as great oils for cooking. Mainly due to their high smoke point, which is the temperature when an oil or fat starts to show a bluish smoke that becomes clearly visible. However, we have only recently started to use them regularly for cooking. Looking at the statistics, we see that vegetable oils were not commonly used before the 1960s. Vegetable oils only started to replace butter and lard after the demonization of saturated fats and cholesterol during the same time period.
Such an extreme change in our diet must naturally lead to the question whether it is healthy or not? We now know that saturated fats do not cause to heart diseases but this doesn’t mean automatically that cooking with vegetable oils is a bad choice.
However, when we consider what would be the healthiest choice to cook with, it is necessary to look at the stability of the oil/fat. At high temperature fatty acids can start to degrade. This process is called lipid oxidation and forms aldehydes.
Remember the last time you had a hangover? Ethanol might be what makes you feel good, but acetaldehyde, the degradation product of ethanol, is what is giving you the hangover due to its toxicity.
Aldehydes from the environment and diet have also been associated to cancer, increased inflammation and cause heart diseases in lab animals. [1 - 6]
According to Prof. Matin Grootveld, especially vegetable oils that are high in polyunsaturated fatty acids (PUFA), like canola oil, sunflower oil or soybean oil are prone to oxidation. His research shows that “a typical meal of fish and chips” fried in vegetable oils, contained as much as 100 to 200 times more toxic aldehydes than the safe daily limit set by the World Health Organisation. On the other hand, frying in saturated fats like butter or coconut oil produces far less aldehydes. 
Other research groups looked at other vegetable oils like soybean oil and found the same. 
Olive oil seems to be more stable and less likely to undergo oxidation. This is primarily attributed to two factors:
1. Phenolic compounds and α-tocopherol (antioxidants)
2. High ratio of mono-unsaturated (MUFA)/polyunsaturated (PUFA) fatty acids 
Production of oils
Another factor that needs to be taken into consideration when to decide for what oil to choose for the way it is produced.
Let’s first look at vegetable oils:
Canola oil, for instance is made by slightly heating and then crushing the seed. Next, the oil is extracted using a hexane solvent. Hexane is part of gasoline (the gas for your car). Of course, the hexane is separated from the oil, but small amounts of the hexane can be found in the oil later . The oil is then treated with yet another chemical to improve the colour of the oil. Finally, during the last step called “deodorization” the rancid smell of the oil is removed by a high-temperature, steam-distillation process.
According to Dr. Guy Crosby, this leads to a transformation of some polyunsaturated fatty acids into trans-fats. One study looked at common vegetable oils on food shelves in the U.S. market and discovered that they contain between 0.56 to 4.2% trans fats, which are highly toxic. [10, 11]
On the other hand, extra virgin olive oil is the highest grade of virgin oil derived by cold mechanical extraction without use of solvents or refining methods. And that is pretty much all that is to say about it. They squeeze out the olives without heating or chemicals.
What about butter:
You could easily do it at home. The cream simply needs to be separated from the milk, which happens naturally by letting raw milk stand for about a day in the fridge. After that, you simply need to blend the cream until it becomes butter and butter milk.
Omega-6 to Omega-3 ratio
The last point that needs to be taken into consideration is that vegetable oils are also usually high in omeg-6 fatty acids. For those who are not familiar with the differences in fats; there is more to differentiate than just saturated vs unsaturated fatty acids. Over the last decades is has become clear that the ratio of omega-6 to omega-3 fatty acids might be an important factor to our health, as scientist hypothesized that too much omega-6, relative to omega-3 can contribute to chronic inflammation.
While the ratio throughout evolution has been something closer to 1:1, today we ingest about 20 times more omega-6 fatty acids than omega-3. If we look at the healthiest population on earth, like the Japanese or the Mediterranean people we also see that they consume higher levels of omega-3 and less omega-6. High consumption of omega-3 fatty acids has also been related to reduced inflammation in the body. [12-14]
What are the best choices?
Saturated fats like coconut oil, butter and lard are more stable for oxidation. The production does not involve extreme heating or chemicals and are therefore the best choice.
Olive oil should mainly be used unheated as salat dressing.
Vegetable oils, including canola oil, corn oil, sunflower oil and soybean oil should be banned from the own kitchen and avoided whenever possible.
Tan et al., A Class of Environmental and Endogenous Toxins Induces BRCA2 Haploinsufficiency and Genome Instability, Cell, 2017
Ganesan et al. Impact of consumption of repeatedly heated cooking oils on the incidence of various cancers- A critical review, Critical Reviews in Food Science and Nutrition, 2017
Chun-Yi Ng et al., Heated vegetable oils and cardiovascular disease risk factors, Vascular Pharmacology, 2014
Grootveld, et al., In vivo absorption, metabolism, and urinary excretion of α,β-unsaturated aldehydes in experimental animals. Relevance to the development of cardiovascular diseases by the dietary ingestion of thermally stressed polyunsaturated-rich culinary oils, J. Clin. Invest. 1998
Miller and Shyy, Context-dependent role of oxidized lipids and lipoproteins in inflammation, Trends Endocrinol Metab, 2016
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Li et al., Effect of Marine-Derived n-3 Polyunsaturated Fatty Acids on C-Reactive Protein, Interleukin 6 and Tumor Necrosis Factor α: A Meta-Analysis, PLoS ONE, 2014