Fried foods in healthier oil: Healthy or not?

I inherited a Fry Daddy deep fryer last year that I’ve only begun to use recently. I’ve used it only twice already in the past week and I love it, but I wonder just how unhealthy it is to use. I know the obvious: you shouldn’t eat fried foods regularly; but somehow, deep frying using this machine doesn’t seem so unhealthy.
First of all, the box says that if you use 100% vegetable oil, it is cholesterol free. I’ve been using Louanna brand, Pure Canola Oil instead and the label says it is naturally cholesterol free and has zero trans fats. When I deep fry chicken breasts with this oil, I’ve noticed that the chicken is not greasy tasting or greasy looking. Also, I don’t get that overly full, gross, greasy feeling after eating it like I do if I were to eat fast food or take out. I feel like I ate something healthy and even light?! Does this mean that using this type of oil, even though the method is deep frying, isn’t so bad for me?? If it is still equally bad, what cooking oils can I use instead that are the healthiest and why??
Thanks!