That being said, I get my best results from the saturated fats, the kind that are solid at room temp, e.g. bacon grease. I like to collect the drippings in little ramekins and store in fridge until needed. Then I nuke it for a few seconds to make it back into oil. It just offers the best staying power and seems to provide the best anti-sticking properties. Folks in the health industry recommend oils with a high smoke point so as to limit toxins. And lots of times I also just keep a little jar filled with some oil and soapless, brillo pad to apply it.
I do the same with bacon grease and I even have lard in the pantry. I hadn't tried the steel wool dealio, but its a great idea. I use an onion like Steven recommends and a paper towel when I don't have a spare onion half. I also will oil the protein or veges before putting them on the grill. The technique I use with protein is to apply the rub and let them rest in the fridge for a bit and then rub them liberally with canola or other oil. Steven uses that technique for his coffee crusted tenderloins in BBQ USA and APL uses it on the apricot pork loin in Serious Barbecue-- both delicious recipes.
For super hot sear cooks I don't use any oil as it will just smoke and make the food tasty funky. I know that goes against keep it hot, keep it clean, and keep it lubricated, but when your temp is around 550 and the coals are inches away there isn't any oil that helps from my experience.
Wow... the oil ramblings of a Juju.
Hope that helps.