I have been asked a lot recently about cooking with olive oil. Here is a good article about that topic from the NYT.

Essentially, you can cook (fry) with good evoo (extra virgin olive oil), but you lose the flavours. The author found the the smoke point for a typical refined oil like canola was around 475F and for the good evoo, it was around 450F.

One thing to note: EVOO is pure and alive, while refined oils have been heated, de-ordorized and treated with chemicals to increase their shelf life.

http://www.nytimes.com/2010/11/17/dining/17curious.html?pagewanted=all