I’m not surprised you’re confused, because there are so many oils available. For cooking, I like to use olive or peanut oil. They can stand higher temperatures needed to brown foods to crispiness without forming damaging free radicals.
Delicate oils such as sesame oil, pumpkin seed, hazelnut, and walnut oils are considered seasoning oils and are better used to toss salads or drizzled over other ingredients before eating. Extra virgin olive oil is good for cooking and seasoning.
Ethnic flavors deserve ethnic oils. Stick with extra virgin olive for Mediterranean foods, sesame for Asian recipes, and a neutral oil, such as olive or canola, for Latin dishes.
Oils from different countries have very different flavor profiles. Olive oils from Greece, Spain, and Italy all have different tastes. Be curious and try these various oils before investing lots of time and money. Try small bottles at first until you've found your favorite flavors.