One thing worth noting is that Olive Oil has a significantly higher flash point than many of the cheaper, more common Vegetable oils, and therefore shoots a little cleaner, in theory anyway. The Light Olive Oils have a higer flash point than the Extra Virgin, which works to our advantage, cuz it is much cheaper. While Olive Oil is more expensive, considering how little is actually used from shot to shot the difference in price is negligible. You can Google up "Cooking Oil Flash Points" for some interesting reading, and decide for yourself. I use it, simply cuz we do a lot of cooking and usually have it on hand, but I wouldn't hesitiate to use something else if that's what I had. When I was a Kid I don't know how many pounds of plain old Lard we used...
Eric
P.S. - Of the more common, cheaper Oils I believe Canola has a pretty high Flash Point...