Olive oil does no such thing as far as I can substantiate. Sauteeing uses as much added fat as any Zone-favorable recipe calls for. (Don't deep-fry).
If, however, you don't like the flavor of olive oil in a particular dish, and if 'extra-light' olive oil isn't light enough, peanut oil is not supposed to add any flavor to foods. I always stir-fry with peanut oil, and I find it indeed adds a peanut aroma.
Of the three oils you offer, I would choose [b:bd1e138dca]peanu[/b:bd1e138dca]t oil for myself. Sesame oil is delicious when sprinkled on food as a condiment, but I wouldn't cook with it as it burns fast and has a strong flavor. I have heard things against canola oil, but this web site debunks the myths as anti-Canadian propaganda (which is fun, I admit)...
(Canola, however, does have a 2:1 ratio of Omega-6 to Omega-3 fatty acids, and I find that to be less than ideal.)
Peanut oil also has the highest smoking point. There seems to be some correlation between the amount of Omega-3s and smoke point: Flaxseed is highest in O-3 essential fatty acids, but burns very low; safflower oil doesn't smoke to over 500 degrees, but is almost pure Omega-6. Below is a handy webpage to save for future reference, (thanks to a fellow Alton Brown fan):
Grapeseed oil smokes high, but is 76% Omega-6.
Short answer? My personal preference is olive oil for sauteeing and grilling, peanut oil for stir-frying, extra-virgin olive oil on salads, and steamed veggies usually get a light sprinkling of extra-virgin, almond, avacado, macadamia, flaxseed, or toasted sesame oil.