Know the smoke points of oil

The "smoke point" is the temperature that any particular cooking oil will smoke.
The goal in preheating oil in a pan is to reach the temperature where you see light wisps of smoke dancing around on the oil. Any hotter than that and you'll burn the oil.

Cooking oils/fats are selected not only for their flavor but for the ability to reach the right temperature for the type of cooking.

Here are some highlights:
(approximate temperature in Fahrenheit)

350 Butter
470 Canola Oil
485 Clarified Butter/Indian Ghee
460 Olive Oil (not virgin)
510 Refined Safflower Oil

I usually use only Butter, Canola, or Olive Oil. Those three easily cover the standard needs of the home kitchen. On my electric stove at home, I usually use butter on a heat no higher than 6, Olive Oil no more than 7 to 8, and Canola Oil for highest temperature cooking. Of course at lower temperatures choose whichever complements the flavor of the food best.