Every type of fat has a smoke point. A smoke point is the temperature at which the fat will start to burn and smoke. If you've ever heated olive oil in a very hot pan for too long and seen smoke, that's a good example of a smoke point. The more refined/processed an oil is, the higher the smoke point. If an oil is unrefined or cold-pressed, it's likely to have a lower smoke point. Because peanut oil has a high smoke point, it works very well for deep frying and other high-heat cooking methods. Seriouseats.com has a handy smoke point index chart.