Coconut oil is the most stable fat to cook at medium/high temperatures. It's good for cooking and baking, but keep the temps below 400F.
Refined Sesame/Safflower/sunflower oil have some of the highest smoke point, but are an inherently unstable oils. So it's good for very high temperature cooking and that's about it.
Butter is great for low temperature cooking. Ghee is more stable at higher temperatures. Lard and tallow are also stable at higher temperatures, and the flavor can't be beat for deep-frying.
Olive oil isn't great for cooking, but is great as a cold oil (for dressings, etc.).
The oil of choice should really come down to the task at hand. Most other oils aren't really worth considering for anything, but I'm sure there are some exceptions.