I like all the oils! Canola, sunflower, coconut, corn, veggie, cocosoya. I've used every one of them. They all yield the same results. I like to switch every once in a while, so the horses don't get bored of one flavor.
The horse that needs the most oil (my little mare with PSSM) refuses to eat oil without huge amounts of grain and molasses mixed it. Which destroyed the point.
I now use Cool Calories 100, which is basically dry vegetable oil. Oil is a pain in the butt. I use it for most of my horses that need weight just because it's cheap, it works, and most of them will eat it. Cool Calories, however, is tasty and uber feeder friendly. It doesn't get everywhere and on everything!
PS: In a healthy horse, oil's contribution to the inflammatory response negligible.
PSS: Rice bran does wonders to build lean muscle as well as weight. It's pretty expensive to feed the amount you would need to provide significant fat, however. It's only 20% fat, unlike oil, which is 100% fat.