evidence: Vegetable oil contains the highest levels of polyunsaturated fats compared with olive, coconut, and canola oil. [...] Vegetable oils have low levels of antioxidants and can release potentially harmful compounds when heated. Researchers have linked these compounds with various forms of cancer, Alzheimer’s disease, and Parkinson’s disease. [...] People can use olive, coconut, canola, and vegetable oil when sautéing. Coconut oil works well in baked goods. People can use olive oil for frying and making mayonnaise, salad dressings, and sauces.