Butter, margarine, oils. Butter is the most harmful because it's the highest in saturated fat, which raises cholesterol and contributes to heart disease. But margarine contains trans-fatty acids, which also increase risk of heart disease. Olive oil, a monosaturated fat, does not increase risk of heart disease, nor, according to some studies, the risk of breast or colon cancer. Use it sparingly.
Canola oil is also a good choice.
One good way is to reduce the amount recipes call for. If a recipe suggests 2 tablespoons of olive oil, try one or less. Or substitute vegetable broth or sherry. Or try an oil spray. Most people who cook with sprays, available at supermarkets, use less oil than they would if they simply poured liquid oil into their pans.