I recently made chips in bacon fat because I had some from frying bacon, and they were great! A little bitter, but I think that was just the potatoes. I used my cheese grater to slice the potatoes.
I don't do much deep frying, but for general use I'm a fan of safflower oil. I can find it for around $3 for a regular sized container (quart?) at home, but around here I haven't seen it for less than $8. I also like peanut oil, but I'm allergic to peanuts and I had a mild reaction to some store brand peanut oil I bought once. I've never had a problem at restaurants that use it though.
I also had a bottle of rice bran oil, which was outstanding for frying (it made the most amazing eggs and french toast), but that was nearly $10 for a bottle from whole foods.
For cooking spray I like Pam for Grilling because it doesn't have soy lecethin or whatever is in the regular stuff that leaves brown residue on my baking pans. One day I read the labels on all the varieties in the store, including store brands (there are a lot!), and that was the only one that seemed suitable. It's not perfect, but I have had better results with that than regular cooking spray.
I haven't tried coconut oil yet, but I haven't been able to find it for an affordable price. Everywhere I've seen it's $6-8 for a jar. Anyone know where to get some cheap?