It is important to understand the "smoke point" of various fats and oils. This is because you should not use/consume oils that have been heated to beyond their smoke points. Once the smoke point has been passed, the oil becomes essentially worthless and SHOULD NOT be consumed.
Unrefined oils, like EVOO, tend to have lower smoke points. Refining oils (taking out impurities) tends to increase the smoke point. The table below lists some ballpark values for smoke points of various common fats.
While I usually use EVOO (Extra Virgin Olive Oil) for most of my fresh, raw applications as well as bread dipping. If I'm cooking, I use regular olive oil and/or butter, or lard when a recipe calls for "shortening" (NEVER EVER eat either that or margarine!).
Both VOO and ELOO are high in monounsaturated fatty acids (72%) and low in polyunsaturated fatty acids (less than 10-12%). The refined nature of ELOO affects the taste and smoke point, yet not the nutritional benefits of using olive oil. Butter is relatively high in saturated fat (66%), yet is low in polyunsaturated (5%). In addition it contains a large variety of vitamins, antioxidants, essential fatty acids, and acids that are antimicrobial and antitumorigenic...besides, it just tastes great!
Smoke Point -- that point where a fat or oil breaks down into potentially harmful and possibly carcinogenic materials containing free-radicals. It's also where the flavor of the oil becomes harsh and unpalatable.