Smoke 'Em if You Got 'Em
Smoke point is a term applied to fats and oils such as lard, butter, and olive oil to determine the temperature in which they begin to turn to smoke. The higher the smoke point, the more heat it can take before it starts smoking, and thus begins to break down and turn rancid. By "break down" I mean the chains of fatty acids that make up the fat begin to break apart or lose parts, which allows other substances to get in there and spoil their fatty goodness.
Knowing the average smoke points for common fats is critical when frying, sauteeing, or using oil to lube up a grill grate. If you are planning on taking that oil to the heat of hell, then make sure you know its smoke point.
For instance, olive oil has a far lower smoke point (250-300) than canola oil (400), so you might want to use canola for deep frying and leave olive oil for sauteeing. Besides, olive oil is better for you.
Lube it up: The next time you feel like doing a little grilling on the old Weber, don't reach for that can of spray shortening. The heat of the grill will evaporate it faster than it can be sprayed on. Plus, the aerosol effect could cause it to ignite in your face.
Here's a method I acquired from BBQ U: dip a folded up paper towel into a small cup of canola oil, then slide the paper along the grill grate using a pair of tongs. Because canola has a high smoke point, the oil won't smoke or evaporate before you get to put the meat on.
Cooking for Engineers has a nicely done table of oils and their smoke points. It's very thorough, but not really usable for the layman. It's broken down by refined and unrefined oils, and makes for quite a cumbersome read. I like this table as set by Alton Brown in I'm Just Here for the Food.