The 'bad' fats typically fall into two categories, saturated fats (that raise your total cholesterol levels as well as LDL - the bad cholesterol) and trans-fats (raise LDL and lower HDL -the good cholesterol - as well as being generally nasty)
The 'good' fats are monounsaturated fats (which lower over all cholesterol, lower LDL cholesterol and increase HDL cholesterol) and polyunsaturated fats (lower cholesterol in general and lower LDL, but do not increase HDL).
So which is which?
Well saturated fats include things like butter and animal fats, and trans fats tend to be man made spreads, like margarine or olive oil spreads, which should naturally be a liquid, but have been altered to make a solid.
Monounsaturated fats are found in nuts, seeds, avocados, whole (raw) dairy products, popcorn and cereals.
Polyunsaturated fats come from sources like fish, leafy greens, nuts, seeds and algae.
Olive oil, being 75% monounsaturated oil and packed with antioxidants would seem to be an excellent choice the - especially cold pressed extra virgin olive oil; but the story does not end here.
Because unsaturated fats are very unstable. Cooking, baking, frying etc with them damages them and leaves them open to free radicals and oxidation. This can make them inflammatory when we eat them and has been linked with heart disease, diabetes and digestive disorders (as well as weight gain)!
Saturated fats, however, are very stable when it comes to eat and light, so believe it or not, animal fats such as butter and lard are much better for you to cook with than oil.
That said tropical oils such as coconut oil and palm oil are probably still considered the best. They contain lots of medium chain fatty acids, which are missing from most peoples diets, including Lauric acid, which can help control infectious problems such as athletes foot, herpes and even measles!
So I'd recommend keeping several fats in your store cupboard, for baking, dressing, sauteeing, and remember as with most thins dietary related, variety is best, and no one solution is perfect for all situations.