We use Palm oil (Spectrum sells it as Shortening) and coconut oil mixed together. They are both a little expensive, but we don't deep fry often. These oils have a very high heat threshold which means they won't go rancid when heated as opposed to most veggie oils and they have a high smoke threshold - they don't let off smoke. Niether oil contains hydrogenated oils in them!
Some coconut oils have a coconut taste and smell, which is fine for somethings, but if you would prefer it didn't, Omega sells one that is good, but has no taste or smell.
For info on these oils check out this website. They do sell them online, but are kind of expensive. You can get the Omega coconut oil and Spectrum palm oil (shortening) at health food stores.http://www.tropicaltraditions.com