Roasted peanut oil is made from peanuts that were roasted before the oil is pressed out. This gives the oil a nuttier, stronger flavor. Roasted peanut oil is generally used to add flavor to food once it has been cooked, or to briefly saute food. Good substitutes for roasted peanut oil are oils that have a strong flavor. This includes nut oils like walnut oil, or sesame oil, hempseed oil and pumpkin seed oil.