For cooking I use coconut oil (both refined and un-refined. Cold pressed refined coconut oil is fine, and if I don't want any hint of coconut flavor then I will use refined coconut oil. Trader Joe's sells unrefined coconut oil at a lower price than Whole Foods - still not cheap but well worth it. It also has a kind of fat that is good for you (middle-chain triglycederides - MCT) and is hard to get.

Canola is highly refined/processed - probably the most processed out there. Here is a brief summary on Mark's Daily Apple that discusses some of the problems with it.