At home, I use olive oil as much as possible, but I don't keep my lampada lit all the time. Only during prayers.
I know several parishes and monasteries that use half olive oil and half canola oil. Sometimes, even just canola oil. I've heard of people using vegetable oil, but I'd think that would smell like a stir fry...I wouldn't recommend it. Canola burns well and clean (it's lighter than olive oil) with no distinctive odor. So, yes, no stir fry smell...but you also lack the distinctive aroma of olive oil, which I think is unfortunate. However, you use what you can, right?
Electricity got a good jump on Orthodoxy here in the States, too. I've been to numerous Greek parishes that have electric candles and lampadas. I heard a story from a priest once about a parish he used to be assigned to, where they had a very cheesy cross atop the iconostas that lit up like a neon sign. It was awful, especially as it got partially burned out and no one would replace it. The rector there plotted forever to get rid of it. One day he was doing some work in the church, I think carpentry or something, and "accidentally" cut the power cord for the cross in two. That was nearly 20 years ago and no one has bothered to repair it!