Walnut oil, grapeseed oil, pumpkin seed oil, avocado oil and almond oil all are best used in dressings, or other no-heat applications. When baking, most recipes call for "vegetable oil" which is a generic term that usually means the manufacturer has used the cheapest means possible to fill up the bottle. In cases where "vegetable oil" is called for, used Canola oil. It is low in saturated fat, so it is more heart-health friendly than other oils.
As for purchasing, it's best to buy organic oils if possible because most of the plants oils come from are routinely sprayed with pesticides, unless organic.
As for storing, if buying large quantities, make sure it is in an opaque bottle so that light does not penetrate, which can oxidize the fatty acids, making the oil go rancid and lose its beneficial properties. Keep lids tight to minimize contact with air. Oils should be stored in a cool, dry place: on the ledge above your stove is the absolute worst place. Unrefined oils, with the exception of olive oil, are best stored in the refrigerator.