I've always thought it was good advice to save your best, most fragrant olive oil for the end of cooking, not to use it during sautéing or frying. Heat drives away aroma, which is what your paying for in a great oil. Harold McGee confirms the logic in this article where he heats different oils and holds a taste test.
McGee finds that all the oils pretty much end up tasting the same after heating. He doesn't talk about texture, though—better oils have a luscious, not greasy, texture—so I'm not sure if that changes. He also fails to clearly underline that olive oil's unsaturated fat is better for your health than the saturated fat in some of the other oils. You may want to stick with olive oil, just use a less expensive one for cooking.
McGee's landmark book, On Food and Cooking, is one I recommend without hesitation. There is no better book on science in the kitchen that I know of.