If you're using oils as a fat source for convenience in shakes or just by the spoonful or whatnot, go for anything that's coldpressed/extra virgin. Except Flax.
My preference is as close to whole food as possible, so it'd go something like this:
-Nuts/Seeds/Eggs/Avocado/Coconut(If you can find it)
-Nut butters/butter/ghee
-Oils
Also, think of Coconut Oil as a "quick" energy source, much in the same way that highly refined sugars are a "quick" energy source. It's not going to cause an insuling spike but due to the high content of MCT's it metabolised quite quickly to be used a good energy source. It's also delicious as a semi-solid after being refridgerated and eaten by the spoon.
As a rule of thumb I like to keep my type's of fat varied a bit, but the breakdown goes something like 50% Monounsaturated 35-40% Saturated and 10-15% Polyunsaturated. High levels of PUFA's aren't exactly great, despite them being an "unsaturated" fat which automatically makes them health promoting to the general public.
GLA/CLA are also good to supplement as these days they're hard to come by in food form.
Was there anything specific you wanted to know about particular fats?