The terms “fat” and “oil’ are interchangeable, though fats are commonly described as being solid at room temperature while oils are liquid. It is important to understand that not all fat is undesirable. In fact, some are actually needed for proper metabolic function, such as “essential” fats, meaning that our bodies cannot produce them and they must be obtained through dietary means. Fats keep us warm because of how they metabolize, and, additionally, give foods flavor, aroma, and fat-soluble vitamins. For more good reasons why everyone needs some fat in their daily diet, see Canola Oil: Good for Everybody.
Each type of fat/oil has unique characteristics due to its chemical structure.
Fats/oils are composed of fatty acids bonded to a backbone structure, commonly glycerol. This structure looks something like the letter ‘E’ with the horizontal lines representing chains of carbon, hydrogen and oxygen atoms (called fatty acids) and the vertical backbone (glue) being a molecule of glycerol.
The differences between fats/oils (flavor, mouth feel, smoke point, stability, shelf life, and health attributes) are related to the way the chains of carbon, hydrogen and oxygen atoms are hooked together.
Fats/oils can be characterized as "saturated" or "unsaturated", depending on the number of hydrogen atoms holding the fatty acids together. If the fatty acids contain the maximum number of hydrogen atoms, the fat/oil is considered saturated. If they are missing some hydrogen atoms they are considered unsaturated. When a fatty acid is missing two hydrogen atoms, it is called ‘monounsaturated’. If more than two hydrogen atoms are missing, it is called ‘ polyunsaturated’. Each fat/oil has a different amount of saturated and unsaturated fatty acids. Generally, saturated fats are solid at room temperature, while unsaturated fats are liquid at room temperature.
The fatty acid pattern of the oil affects its frying performance by determining the smoke point and stability of oil, as well as the flavor, mouth feel, health attributes, and shelf life of foods. See The 5 Factors for FitFrying section for more information.(See The Five Factors for FitFrying section for more information)
The chart below of alternatives to partially hydrogenated soybean oil shows the percent of saturated and unsaturated fatty acids in common fats/oils. You can see that each fat/oil has a unique combination of saturated, monounsaturated, and polyunsaturated fatty acids. AOM indicates the antioxidative measurement of oil stability (in hours).

Eckel, et al. Understanding the Complexity of Trans Fatty Acid Reduction in the American Diet. American Heart Association Trans Fat Conference 2006. Report of the Trans Fat Conference Planning Group, Circulation. 2007;115:2220-2235.