Saturated fats are not actually as bad as some make it out to be. Granted they're not great for you, but given a choice between something fried in vegetable oil and something fried in saturated fat, I would choose saturated fat.
Weird I know. I wouldn't believe me either if I hadn't read about all this stuff.
Polyunsaturated fats are unstable. High temperatures denature them, transforming them into something that your body has a hard time processing. Saturated fats are very stable. High heat does nothing to them and thus makes them safer to use for deep frying and high-heat cooking in general. I try to avoid deep fried stuff altogether.
French cuisine is known for their high use of butter in their cooking. But you'll find more obese people here in the U.S. than in France. Partially hydrogenated oils cause more obesity than saturated fats. I can't remember the specifics anymore, but there's a lot of info out there if you Google for it.