Frying--butter or olive oil
Baking--peanut oil

I don't really bake much at all (except for fish and breakfast custard). I'm not terribly fond of olive oil, but I do like to sautee with it (and garlic).

When I make mayo (I don't eat store-bought mayo. It has partially hydrogenated soybean oil in it), I use peanut oil, as I'm not fond of the bitter taste of olive oil in my mayo.
What is it that you're baking?