Like a previous poster said, olive oil! I used to always use canola oil when I first got married (many moons ago) because everyone on tv kept saying how good it was for you... but now, I've switched to using olive oil exclusively.
It's a bit more expensive, and I try to buy the oil that says it's from the first cold press. But a little bit does go a long way.
Admittedly, I do keep a little peanut oil in the pantry on the rare occassion I fry up chicken... but shhhh, let's keep that on the DL.