We tend to use whatever oil is available at my house. Right now, there is an abundance of olive oil, so we use that. When there is not, we use vegetable oil, rather than leave the oil lamp unlit. I'm not sure if it's "wrong" to use a different kind of oil...I would suggest it isn't, but then again, what do I know?! I think the more important issue is not the kind of oil, but the actual act--a small sacrifice of light to God, and I'm sure if it comes from a well meaning heart, whether olive or vegetable, I don't think the kind of oil is an issue. But don't quote me on it, others who know more than me, feel free to correct.
The least in Christ Jesus, our Lord,
P.S. My mom taught us that when we change the wick from the lampada (kantili), we are to take the old wicks, and any oil that has come from the oil lamp on a paper and burn it, but not throw it away. We are Greek, and this is what my mother was taught by her mother, and she from her mother. I'm just wondering, is there a similar tradition with Russians and Serbians, and the other Orthodox brothers and sisters on this forum?