Dr. Robert Ronzio, author of Nutrition and Good Health, says it best when he describes the process of extraction used in refined oils:
The first step in oil extraction involves crushing or grinding oil-bearing tissue to release oil from cells. The second step involves pressing to squeeze oil from crushed tissue. Residues from pressing are usually extracted with solvents such as hexane to remove the remaining oil. The solvent is then removed. To purify these oils, they are further extracted with alkali and heated, degummed, deodorized by steam treatment, and decolorized by treatment with charcoal or clay. Since these procedures remove or destroy vitamin E, synthetic antioxidants like BHT, BHA, and propyl gallate are often added to retard rancidity. Oils may be "winterized" by removing particulate matter that form upon chilling.
Yikes! Compare that with his description of unrefined oils:
Certain "unrefined oils" are available. In the preparation of these oils, processors do nothing to the oils after heating ground seeds and pressing them to extract the oils. Because such oils are less pure, they have distinctive flavors and colors.
Sounds like a clear winner. Dr. Ronzio also warns, however, about the term "cold pressed" -- just because an oil claims to be cold pressed, it doesn't mean it hasn't also been chemically treated. Only oils that are labeled "unrefined" can make this claim.
I emphasize several times the importance of not letting the oil reach its smoke point when heated. Why? Dr. Daphne Miller, author of The Jungle Effect, offers an explanation:
When an oil starts to smoke or burn, it releases carcinogens in the air and forms dangerous free radicals that should not be ingested. Throw out an oil that smokes, turn on the stove fan, and start over. Do not reuse cooking oils used for frying. Each heating causes the fatty acids to break down and release harmful free radicals into the oil.
So there you go -- a crash course in oils.