Diets of developed countries contain substantial quantities of fat subjected to different processing and heat treatments. Heating in the presence of air produces oxidative and thermal degradations in the unsaturated acyl groups of triacylglycerols and in other unsaturated compounds present in the oils and fats. These changes modify the nutritional properties of culinary fat and lead to the formation of many oxidized and polymerized compounds that present higher polarity than that of the original triacylglycerols. Some aspects of lipid peroxidation that occur in heated and used frying oils will be briefly presented and discussed. This paper will focus on appropriate methodology for the assessment of fat alteration (e.g. chromatography) and the point at which any oil used for frying should be discarded. Polar material (PM) and triacylglycerol oligomer content (TOC) determinations constitute the basis of legislation for oil discarding in some European countries; we will try to open some debate on whether PM or TOC is preferred for oil discarding assessment. Correct frying performance helps to lengthen oil frying-life and to decrease the alteration content in the fried food. Because many factors are present in the culinary and industrial frying, the effect of the process itself and that of the food and the type of oil used will be reviewed. The present report analyses and describes a wide variety of topics related to frying performance, and their nutritional implications with a special focus on the behavior during frying of most consumed oils in Mediterranean countries.