I like coconut oil when my hair is in twists, but that's about all I use it for. It's really heavy.
Grapeseed is really lightweight and a great heat protectant! I use it whenever I straighten my hair at home. Just put a small amount on while your hair is still damp and comb it through.
I know you didnt mention apricot oil but I like that too. It's also a good heat protectant but is heavier than grapeseed is. It's also good for your skin because it has great anti-aging properties.
Not a huge fan of olive oil personally. I dont like the smell too much and it it's pretty heavy like coconut oil. I would only use it on twists but the smell is kinda nasty. Good for hot oil treatments though.

Hope I could help!