Depends. If I'm deep frying something it's always vegetable oil. To sautee vegetables I use coconut oil infused with pepper and salt. I usually don't tell people this secret of mine because it takes my food to the next level when I cook for money. I mix avocado oil and olive oil. I also mix coconut oil and olive oil. You have to tinker with the mixture to get the right flavor and oil consistency for the dish you're preparing. Here's the real secret.
Spanish olives are better quality than Italian olives. Italy imports Spanish olives and makes olive oil packaged as Italian. I only use Spanish olives. It's expensive. I spend 40 dollars or more importing it. Safeway select olive oil has great flavor too. Not all olive oil tastes the same. It varies by the batch. When I taste good olive oil I buy as many bottles as I can afford.
Have you ever had real ketchup? It's life changing. And real BBQ sauce will make you pray to God whether you believe or not. My BBQ sauce got people trying to steal my recipe.
Protip: olive oil burns easily and that ruins the point of using it. Coconut oil burns at a much higher temperature than OO. And it has a natural sweetness to it when heated properly. I roast sliced almonds and coconut chips. Toss it in a red quinoa salad with mandarin slices and parsley. Its a great chilled salad. It's beautiful too.