Linseed (aka flaxseed) and fish oils are the healthiest oils to feed; they are the only oils that have a higher content of omega-3 than omega-6. Fish oils, however are not very palatable.
While fresh grass is a good source of omega-3, hay is not as it degrades very rapidly after the hay is cut and dried. You should feed an omega-3 supplement (e.g. whole flaxseed or oil) to horses that do not have access to fresh grass and avoid oils with more 6 than 3. Of the more common, inexpensive oils, canola is the least imbalanced in terms of omegas.
I posted some of the omega ratios for oils in a thread in the nutrition sub forum recently but am posting from my phone an am about to get on a plane at the moment, so can't link it right now.