The smoke point of an oil is the temperature at which oil begins to decompose and it is during that process that it begins to give off fumes or smoke. This will affect the flavor of the food. Use an instant read or candy thermometer to monitor the temperature. Successful frying relies on the right temperatures.
Oils like Canola, Peanut, Vegetable and Sunflower have fairly high smoking points and are best for deep frying. The refining process of an oil also increases it smoke point.
If you don't have a thermometer handy, CookingVillage.com offered this explanation:
Alternatively, oil can be tested by dropping a cube of white bread into the hot oil. If it browns uniformly in 60 seconds, the temperature is 350 to 365F; 40 seconds, the temperature is about 365 to 382F; 20 seconds, the temperature is about 382 to 390F.It was found in their "Tiptionary" section
Extra virgin olive oil that is cold pressed will have a very low smoking point at approximatley 200°F. It has Great Flavor and I tend to use it more for salad dressings and mixing. Check out The World's Healthiest Foods - WHFoods.org, as this is some good information on olive oil and smoke points.
Companies are always coming with new types of oils as noted in the earlier entry I posted on Olivio Premium Spread who also produce an olive-canola oil mix. This provides you with some of the great taste and benefits of olive oil while raising the smoke point by adding canola.