Coconut oil is one of the most penetrating oils for the hair. It's high in saturated fats, which are small molecules that can easily penetrate the hair. It also helps to retain hair protein (though it contains no actual protein, like any other oil) so hair that doesn't like protein may not like it. I find it best used as a pre-treatment or deep treatment. Any very or semi penetrating oil can work for that.
Olive oil is semi-penetrating because it's high in monounsaturated fats. I like it for sealing. Any semi or low penetrating oil can work for sealing. Because olive oil is semi penetrating it can also be a good deep treatment. It's easy to find so it's popular for all kinds of uses.
Grapeseed oil is a low penetrating oil. It's high in polyunsaturated fats, which don't penetrate the hair well. Jojoba oil is a liquid wax, which also penetrates the hair poorly. Both are good for sealing.
I have a huge list of oils here: https://docs.google.com/spreadsheet/...yUzVURXc#gid=3
that can help you determine whether a fat is penetrating or not.