Frying in general is not a healthy practice.
The oil gets too hot, and many oils degenerate at such temperatures and form free radicals.
Olive oil one such oil. It is great for salads, for breads, for making sauces, mayonnaise, and things like that. It's very good for you, it actually fights cholesterol problems and should be eaten regularly.
But it should never be used in frying.
The following chart shows the temperatures at which various oils degrade.
Anything that degrades and starts smoking below 400° Farenheit is not really good for frying.