Most of the nutrition science you hear about right now points to mono-unsaturated fats as the good fats. Olive oil and canola oil are both mono-unsaturated. Mono-unsaturated fats are thought to lower cholesterol.
In general, the fats to steer clear of are the saturated fats. Saturated fats are bad because they clog your arteries. Partially hydrogenated vegetable oils (which are artificially saturated fats) are now considered totally evil, both because of the saturation and a side-effect of hydrogenation called trans fatty acids.
Fatty acids that have double bonds come in two forms: trans and cis. "Trans" and "cis" refer to the direction of folding that occurs at the carbon double bonds in unsaturated fatty acids. Cis fatty acids are the normal, natural directions for the folds. A trans fatty acid is chemically identical to the cis form, but folds in an unnatural direction. The trans fatty acids are created by heat (as in deep frying) and by hydrogenation.
It turns out that in the body, the enzymes that deal with fat are unable to deal with the trans fatty acids (see How Cells Work for details on enzymes). Therefore, the enzymes get tied up trying to work on the trans fatty acids, and this can lead to problems with the processing of essential fatty acids.
Essential fatty acids are not bad for you the way trans fatty acids are. They're actually essential to good health.