I can never really taste a difference between foods fried in different cooking oils, at least not the commonly used ones.
For frying, my first choice is peanut oil, but the budget doesn't always allow that-- it's expensive. Beyond that sunflower and corn oil are the two others I use for frying. I use the above because the flavor is supposedly neutral (or unoffensive) and the smoke point is well above deep frying temperatures.
For baking I use vegetable oil, canola, or whatever high heat oil is cheapest.
For things like sauteing, light frying or other low temp stuff, I always use either extra virgin olive oil, avocado oil or grapeseed oil. The latter two can also be used at high temps and frying, but they're too expensive for me to want to use in that application.