Well, for a start, here's Snopes.com's refutation of the bad rap canola oil got quite a while ago, and why it isn't true -
Wikipedia.com has a pretty good chart on cooking oils and fats, although the page I looked at didn't go much into the various pros and cons of health aspects - it is still very useful for understanding cooking temperatures, etc.
Speaking off the top of my head -
Generally, the monosaturates are best for health, but some oils previously thought terrible (nut oils, which can be a poor choice for someone allergic to nuts) have gained in new regard for various reasons (their omega 3 content?).
Margerine can be good or bad, have trans fats (baddies) or not. Label reading important for margerine.
Butter and lard in excess is plain dumb, but in someways not so bad as fthe synthetic trans fats (partially hydrogenated fats). Good butter is hard to beat for flavoring for certain dishes.
Personally, I have a bottle of canola at hand, usually for some kinds of baking; a bottle of pure olive oil for things I want to add olive oil to that will be heated; a bottle of good extra virgin olive oil, for salads and bread dipping (that is, not heated extensively); and butter. The one that disappears by far the fastest is the pure olive oil.
I have some walnut oil in case I want to make a pizza with mozzarella, a little gorgonzola, some walnuts, and a dribble of walnut oil...
On the different olive oils, a good evo (extra virgin) can cost a lot of money, and that is (I'm told) wasted as you might just as well use "pure", the way cheaper product, when you subject the oil to a lot of heat.