That's interesting too about the Olive Oil. But don't they use a lot of olive oil in Italy, and they all seem fine to me.
Grapeseed oil is the lightest and least 'oily' of the oils. It is almost taste and odorless. Recently I've begun using it more and more because of it's very light and non-invasive flavor.
Sesame oil is good too, but it has such a strong flavor, you have to use it in accordance with the meal you are cooking.
I don't know so much about Canola oil, if I find out I'll post it, but it's recently been promoted as one of the best oils.