I burned olive oil once because I was curious how it burned after reading what God commanded the Jews to burn in the Tabernacle. Lol! It burned fantastic, but it is expensive. Veggie oil also burns.
Vegetable oil can be used in lamps if it has gone bad or is pretty old. We were saving used cooking oil for my kid to use in his old diesel truck when he was having, ummm, financial shortages. Strained it and mixed at about twenty to one with the diesel fuel.