When deep-frying, it is best to use neutrally flavored oil like safflower or peanut oil, as they have a high smoking point and thus does not burn easily even at high temperatures. You can also use vegetable oil, but I find I have more trouble with the oil splattering. Some recipes used to call for lard, but most don't anymore because of the fat content. Sesame oil and extra-virgin olive oil have a low smoking point, making whatever you are frying taste scorched and bitter.