I use coconut oil (well, it's more like fat at room temp) once a month or so. While it's probably not the best oil "health wise" (not so much because it's almost fully saturated, but because it's pure omega-6), it is a lovely and delicious oil to fry (home made springrolls for example).

I suppose it's a balance; using healthy oils (it's not inflammation friendly, although there seem to be other benefits to coconut oil, I should read up on that) is one thing, trying to live a little bit is another.