Frying any type of oil is bad, Though if one could pick any oil to fry in. It would have to be olive oil. Due to its Monounsaturated make up it allows it to Withstand the extreme temp better then that of Polyunsaturated oils can.
The biggest reason frying with any oil is bad (in my book) is the fact that frying the oil creates carcinogens. And with Olive oil being this case here, it destroys some of its anti-oxidents.