I would use vegetable oil or canola oil for stir frying, or peanut oil. Olive oil carries a distinct flavor to it, so you want to use it to compliment certain dishes (Italian, etc). Extra Virgin Olive Oil comes from the first pressing of the olives. It is still 100% olive oil, but it carries more flavor than "regular" or "lite" olive oil. As far as the different vegetable oils go, different oils carry different amounts of different fats, so some say a certain type may be better for you than another. Also, different oils have different smoke points. Olive oil has a very low smoke point, so it starts smoking at a lower temperature than other oils. This is bad for high heat cooking (such as stir frying). Peanut and seasame oil both have very high smoke points, hence their use in stir fries. Seasame oil is very expensive though, so many people use it for a garnish. Peanut oil isn't nearly as expensive, and you can buy it in large quantities to use in friers. However, when in doubt, go with vegetable or canola oil.
When in doubt about an oil or its use in high temperature application, check a MSDS sheet to find the flash point. Stay below the flash point and you won't start a fire.
Ryan
EDIT: I could be wrong about the smoke point of seasame as per someone's post above. However, I remember that seasame is has a high smoke point.