Cooking Oil is fat. Either the fat of plants (peanut oil, canola oil, olive oil, etc), or the fat of animals (bacon grease, beef tallow, etc). Humans evolved in a state of near starvation and so seek out energy dense foods like sugars and fats. As such we cook with them because we are geared to want to consume them. It also gets hotter than water does which does unique things to food, making it crisp and is something we like.
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