I don't like olive oil due to the taste. I do subscribe to the belief that you should rotate your cooking oils and try to get animal fat in there - it's good for you.
All oils will break down as you heat them, so cold olive oil is healthier than heated.
I just started using almond oil and love it. It has a very high smoke point like peanut oil (almost 500 degrees F) but unlike peanut it is anti-inflammatory as opposed to inflammatory. It is also rich in vitamin E and is a great moisturizer, a lot of massage therapists use almond as their main carrier oil. I put a couple drops in my face after a shower, to prevent crow's feet and skin dryness, I like the way it feels and it absorbs into the skin nicely.
I also hear grapeseed oil is good and it has a high smoke point. Also coconut oil comes really highly recommended and a lot of people like it.
Here's a tip to not cook with too much oil: get a travel squirt bottle from the drug store, the kind for dispensing cosmetics. My morning omelet takes 5 small squirts of almond oil on the Teflon pan to prevent sticking, and that's it. A good way to not waste money or health.
Yeah for high heat and no funky flavors I like almond oil. I sear steaks at high heat and coating the steak with a layer of almond oil rubbed in beforehand has worked fine for me.