They usually contain things that will raise your "bad" (LDL) cholesterol, lower your "good" (HDL) cholesterol, and promote inflammation. These three things are all the opposite of what a person is trying to accomplish in the Zone. You'll find more info in a Zone book. If you haven't read it yet, "The Anti-Inflammation Zone" is a great resource. You can refer to it frequently and use it as a manual for the Zone. It contains the most up-yo date info of all the Zone books.
If you're tired of the 3 fats you've been using, you could try adding some others like canola oil, peanut oil, guacamole (instead of just plain avocados), cashews, olives, peanuts, peanut butter, Macadamia nuts, Macadamia nut butter (I love it!), and almond butter. Also, sesame oil, even though its an omega 6 fat, is helpful for lowering inflammation (the reason is explained in "The Anti-Inflammation Zone").