There are two main types of oil that you should be aware of - they can sometimes be called refined and unrefined oils, but really they are cooking- and flavour oils.
Cooking Oils
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Sunflower oil
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Rapeseed oil
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Peanut oil
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Corn oil
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Olive oil(cheap & refined ones)
Flavour Oils
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Extra virgin
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Olive oils
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Nut oils
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Some seed oils (Flaxseed, sesame, etc.)
COOKING OILS should have no flavour or smell, and are usually pale yellow in colour. Not having a flavour indicates hat it has a higher smoke point - meaning it is less likely to burn/smoke/turn into a diabolical ball of fire when you’re cooking with it. For any high temperature cooking: always use a cooking oil!
FLAVOUR OILS are the more expensive oils, that can contribute interesting flavours to your food. Unfortunately, most of the flavour will disappear with too much heat, and most flavoured oils have a low smoke point. If you like the flavour you can try cooking low-heat dishes with it, or just drizzle some on post-cooking. There are also flavoured oils - oils that have been flavoured by another item (chilli, garlic, truffle etc.). These are also better for lower heat or cold applications.
DON’T GET CARRIED AWAY WITH EXPENSIVE EXTRA VIRGIN OLIVE OILS!!
Finding flavours you like is the most important part. Just because it is much more expensive won’t mean that the flavour will suit you more.
Also, if you can’t taste the difference between olive oils, admit to yourself that you can’t taste the difference.