To make Buffalo wings, traditionally chicken wings are deep fried in oil and then tossed in a saucepan with butter and hot sauce. Deep frying involves heating the oil to high temperatures, around 350 degrees to 375 degrees Fahrenheit, so you need oil with a high "smoke point." When oil reaches its smoke point it not only begins to smoke but also begins to break down, bringing a scorched and bitter taste to your meat. Neutral flavored oil is also preferred.
In reviewing buffalo wing recipes, vegetable oil seems to be the one most commonly used if the oil type is named. What's labeled as "Vegetable Oil" in the grocery store is typically soybean oil or a variation thereof. Soybean oil has a smoke point of 450 degrees and typically has a good neutral flavor enabling you to put all your flavor efforts into the sauce. For those tracking their fat types, vegetable oil contains polyunsaturated fats.
The other oil found in many deep frying recipes is peanut oil. Though derived from peanuts, this oil has a surprisingly neutral flavor with a smoke point of 440 degrees. Because of these qualities, it's also the most common oil used in making deep fried turkeys. Be aware of guests who may have allergies to nuts however. Peanut oil contains monounsaturated fats.
This oil is not only flavorless but also colorless, making safflower oil highly recommended for deep frying with its 450-degree smoke point. It's also commonly used in salad oils as it doesn't solidify when chilled. Safflower oil contains polyunsaturated fats.
This oil is reputed to be one of the healthiest oils and has the highest smoke point, at 520 degrees. It does carry with it a nutty flavor, however. When using, smell and taste it before heating it to determine how well it will fit with your sauce. Avocado oil contains monounsaturated fats.
More commonly used in Asian stir fry, almond oil has a 420-degree smoke point. Almond oil has an almond flavor and smell but may be well suited for hot wing variations. Almond oil contains monounsaturated fats.
Cottonseed oil is commonly used for commercially fried products due to its neutral flavor. Cottonseed oil also has a smoke point of 420 degrees, but it's harder to find than vegetable or peanut oils. Cottonseed oil contains polyunsaturated fats.