Actually, there are really only a few oils you can substitute for each other, at least without any significant side effects.
The oils which generally are used interchangeably are peanut oil, canola/rapeseed oil, and sunflower oil. These oils have similar smoke points, don't impart any really noticeable flavour, and tend to be used primarily for high-heat cooking (pan-frying, deep-frying), so if you're paranoid about saturated fat for instance, you can substitute sunflower oil for peanut oil. Corn oil is in the same group, but I rarely see that used anymore. You can also use the "light" olive oil, but that will change the flavour of the dish. I believe walnut oil has similar properties, but it's considerably harder to find.
But keep in mind that oils are used for far more than frying. Many have highly-specialized uses:
Extra virgin olive oil is most commonly used in sauces and salad dressings ("oil and vinegar" almost always means olive oil, there really is no substitute);
Chili oil is really more of a condiment than a cooking oil. Even if you could cook with it, the result would be inedible due to the heat.
Toasted sesame oil is used as a flavourings in Asian dishes. It's useless as a cooking oil (and cooking with it would be a terrible waste). Regular sesame oil, on the other hand, is often bought in a refined form and is generally used as a cooking oil.
There are a lot of other more esoteric types of oil such as palm oil and coconut oil, which you really don't want to use unless you know what you're doing (you can ruin the flavour).
I could go on, but for now I'll refer you to the Types of oils and their characteristics as a starting point. Cooking oils really aren't freely interchangeable in all situations; even if you've accounted for smoke point and flavour, sometimes a significantly different fat content (i.e. grapeseed oil which is mostly polyunsaturated vs. canola oil which is mostly monounsaturated) can seriously mess up a delicate recipe.
It's better to be asking which oils you can substitute in a specific situation than to assume everything goes and list the "exceptional" circumstances.
We had a very similar question about making your own garlic oil here:
Botulism, Garlic, Cold pressed Olive oil and mason jars
Oil is effectively an anaerobic environment, which promotes the growth of the bacteria and spores responsible for botulism.
However, these types of risks are common in home canning. Major factories producing canned or bottled goods are going to want to protect themselves against millions of lawsuits, so they are going to take steps to pasteurize (for lack of a better word) the foods before packaging them. Commercially-packaged infused oils have probably either been heated, acidified, or filtered to guarantee food safety.
On the other hand, the linked question above demonstrates that there are people out there who aren't taking the appropriate precautionary measures. If this oil came from a well-known company with a good track record then I would not worry (and you can always contact them if you are worried); however, if it came from somebody you've never heard of, and can't find any reliable information on - i.e. somebody who's making this stuff from home - then I might be a little more concerned.
If you trust the source, then trust the oil. Otherwise, you might want to try sterilizing it yourself; you need to either heat it to 250° F (121° C) or expose it to acid conditions. Neither of those things are really desirable; heating it can taint the flavour or even burn the oil depending on what kind of oil it is, and if you want to take the acid route, you basically need to to pickle it. But there you have it, that's what you can do if you don't trust the safety.
Best Answer
Grapeseed oil's high smoke point is good for dishes like stir frys where other oils might burn. However not as high a smoke point as Sunflower oil. Canola oil has a relatively low smoke point which will limit its applications.
In addition, Grapeseed oil has a clean flavour where as Canola sometimes has a bitter edge to it. Other oils will have their own flavour characters. Which you use is partly personal taste and partly dependant on what you eat.
For deep frying I'd go to sunflower. It's not the cheapest but not expensive either. It gives a nice crisp finish to most fried foods. If the oil is to be used cool, such as a dressing, olive oil would be my choice, simply for flavour. Since olive oil, like canola, has a low smoke piont, I wouldn't fry with it. For a high temperature frying such as a stir fry, your Grapeseed would be ideal. Also look at rice bran oil wich has a very high smoke point and clean flavour. Ideal for stir fries.