Normally I buy peanut oil. However, my local supermarket, in its infinite wisdom, has stopped stocking it. They have every other oil known to man (off the top of my head: vegetable, corn, canola, sunflower, safflower and various blends).
So, which oil should I choose for deep frying?
Canola is probably as good a choice as any, as it has little flavor of its own. I wouldn’t use corn oil, unless you want that taste in your food.
High smoke point and a neutral taste.
Wait, what is “unrefined” oil in that context? Would all commercial oil I can buy at the store be refined?
If you want a single oil for all purpose frying you make compromises, and health concerns are no doubt part of your choices. But lard and tallow combos render incomparable flavour to many deep fried foods.
A decent rule of thumb is that lighter colored oils generally reach a higher temperature, which you want for deep-frying. So canola or vegetable are decent choices. Olive is definitely not.
If it’s possible, go to an international supermarket in your area and get a 5-gallon container of peanut oil. I live in an area where there are several such markets and containers of peanut oil in any amount are readily available.
Well I ended up with Canola oil, and while it did a passable job frying, it had such a strongly “frying” smell about it that I definitely won’t be repeating the experiment. Yuck.
I don’t have any latino or really any large ethnic supermarkets nearby (the immigrant population in my neighborhood is predominantly Russian Orthodox Jews) – actually we don;t have large supermarkets of any variety nearby – it just occurred to me that the Home Depot might be carrying mega-jugs of peanut oil for those turkey deep fryers – I’m going to check there next week. I needs my peanut oil!
I always use Grapeseed oil but I don’t deep-fry very often and don’t know how it compares to other oils; I definitely don’t notice an odor using it (more specifically I don’t hear any complaints from my wife after deep-frying 
).