How are Oil Types Differant?
Ratios of saturated/monounsaturated/polyunsaturated fats, and ratios of which kind of polyunsaturated (omega-3/6/7/9) are different for each oil. While the ratio of polyunsaturated fats to each other will mostly be a health matter and out of scope here, the saturated/mono/poly ratio has an influence on consistency at a given temperature (eg the coconut oil mentioned is pasty to solid at room temp), freezing point, and heat/storage stability - poly will break down at high heat more easily, resulting in potential off flavours, and will also reduce room temperature shelf life of the oil.
Taste will also be slightly different, and more different if heat stressed (eg to me canola smells and tastes fishy if it has been fried with even without overheating it). 

Also be aware there are unfiltered/unrefined varieties of canola/rapeseed oil on the market, these are rather unsuitable as a frying/sauteing medium. 

"Vegetable oil" can be a refined oil of canola,corn,sunflower,soy,safflower,others (but not often since most other oils are just more expensive), mixtures of these...