I was using coconut oil for everything cooking wise until I looked at a comparison chart of cooking oils, which clearly showed that it's way higher in saturates than just about any other oil on the planet. This kind of put me off! And then there have been reports that olive oil should only be used as a dressing, not for cooking, because it has a low smoke point and can become carcinogenic if overheated. Although that might be just extra virgin olive oil, not sure...
I think canola and avocado oil are the recommended oils for frying, roasting, baking etc, because of their higher smoke points.
Tip: try adding a large knob of coconut oil into sweet potato mash, along with a good shake of cinnamon - it is delicious!