One of the failings of oil is that, unlike fats such as butter and lard, it is inclined to collect instead of remain uniformly distributed through the baking dough. For that and other reasons, your baked goods will tend to be too grainy, an effect that is undesirable except in a few specialties. Fat gives your baked items a fluffy, moist texture and, as a bonus, a commendable flavor.
We do not recommend the all-purpose oils, the type that have been engineered to be suitable for both baking and deep-frying. These products do not give the best of both worlds: good baking properties plus a high smoke point for deep-frying. In order to give the oils improved baking quality, the food manufacturer must use additives that appreciably lower the oil's smoke point. An all-purpose oil, therefore, is a compromise, noticeably inferior both to regular oils for frying and to fats for baking purposes. No matter how hard the food technologist may try, their laboratory quest for a truly all-purpose oil will be futile.