Oil is a fat.
Fats are one of 4 pillars of cooking (other 3 being salt, acid, and heat)
Fats have many effects.
As a main ingredient it carries rich flavor and texture.
As a cooking medium (which oil is) it can be heated to a higher temperature and let foods develop a good texture by browning and having a crisp crust.
This browning not only affects texture but it introduces new flavor to a dish.
Lastly fats are also important because they coat the tongue and let the flavor to stay with your taste buds longer which lets you savor flavors longer.
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