Contrary to conventional wisdom, olive oil can make an excellent choice for deep-frying.
Many cooks don't think of olive oil as a good choice for deep-frying, since its smoke point (the temperature at which a fat breaks down, resulting in an acrid smell and taste) tends to be lower than that of other oils. But the fact is, you can get great results deep-frying with olive oil (see Fritto Misto) if you play by a few rules. First, use a good-quality extra-virgin olive oil; while its smoke point isn't as high as those of some chemically processed olive oils (whose smoke point can be as high as 460 degrees), the flavor it will give the dish is superior. It should also be a filtered oil, as solids in greener oils will burn. And be sure to fry in small batches, since overcrowding the pan can cause the oil's temperature to drop significantly. Attention to such details really pays off: deep-frying with olive oil imparts fruity, peppery flavors and creates an incredibly delicate crust.