Fat is a vital nutrient. As well as being a useful fuel, fats are an essential building block of all cells in the body, as cell membranes are made of fat. Nerve cells need even more fat, as they have an extra membrane, called the myelin sheath, which is what carries the nerve impulses. The brain is 60% fat.

Saturated fat is the most stable fat at body temperature so it's the best fat for stable cell membranes and receptors. Sat fats are required for hormone production and boost the immune system.

Most importantly, in the whole "heart healthy" debate, is that saturated fat is the preferred source of energy for heart muscle.

Fatty acid metabolism is the primary source of energy in a healthily functioning heart, because it is the quickest way of producing energy.

"In the well-perfused heart, ∼60–90% of the acetyl-CoA comes from {beta}-oxidation of fatty acids"
Myocardial Substrate Metabolism in the Normal and Failing Heart
Physiol Rev July 2005 vol. 85 no. 3 1093-1129
http://physrev.physiology.org/content/85/3/1093.fu...

"Healthy myocardium uses mainly fatty acids as its major energy source, with little contribution of glucose."
Metabolic and genetic regulation of cardiac energy substrate preference
Comparative Biochemistry and Physiology - Part A: Molecular & Integrative Physiology
Volume 146, Issue 1, January 2007, Pages 26–39
http://www.sciencedirect.com/science/article/pii/S...

"In the human heart, FAs are considered to account for 60-70% of oxygen consumption for energy production"
Fatty Acid Oxidation in the Heart
Journal of Cardiovascular Pharmacology:
1996 - Volume 28 - Issue - pp 11-17
http://journals.lww.com/cardiovascularpharm/Fullte...

The process by which the heart burns fatty acids for energy is known as beta-oxidation, a process that is easiest for saturated fats due to the lack of any double bonds in the molecule e.g. see http://en.wikipedia.org/wiki/Beta_oxidation . Burning sat fats requires fewer enzymes and thus less energy. Therefore sat fats will be burnt preferentially whenever the heart can get access to them.