It's funny... since sharing my bread recipe, I've had three people question or comment to me on the health pros and cons of Coconut Oil. I had the same ponderings awhile ago, but after purchasing a baked good that was made with it (and liking it) I did some research on the stuff. Turns out, it got a pretty bad rap in the 60's when concern rose over hydrogenated fats. What you want to find is a brand of oil that is NOT hydrogenated, but pure virgin coconut oil. Instead of quoting the page word for word, I will suggest you read this link posted by Nutiva. I've had no problems finding coconut oil at my local grocer, though I find that I actually have choices between brands when I hit the health food/organic market!
And ironically, the hexane solvents mentioned in the link also made the news recently in conjunction with tofu and soy "veggie burgers". Hexane is used to separate the fat from the soy to make things, well... lower in fat - per consumer request, of course. Google it... it's nasty stuff.
Consider giving Coconut Oil a try if you haven't already. It is a little more money than other cooking oils, but if you consider the health benefits it's a win win. Plus the taste is just wonderful. Not overly coconut-y, if you are concerned. You can bake with it, fry with it, and ohhhhh my favorite... make POPCORN with it!!!
**As a side note, I'm not receiving any money from Nutiva by posting about their products. :) It just happens to be a brand that I trust and enjoy!