Hi There!
There are tons of threads on oils and application, uses, etc. Do a search and you will find many.
Many of the ladies use Extra Virgin Olive Oil (EVOO), coconut, amla, jojoba, Kemi, Hot 6, Wonder 8, Wild Growth Oil (WGO), Vatika and the list goes on and on.
I personally use amla (an indian hair oil purchased at Indian stores), coconut, Hot 6 and Vatika.
Oils are used to seal in moisture, hydrate or moisturize (the jury is still out on the moisturizing part though; some say it does, others not).
A lot of people use the oil as a prepoo or precondish by applying it all over the scalp and hair. You can leave it on overnight with a plastic cap before washing. If you don't have time for overnight just apply several hours before and then wash. I use the overnight method at least once a week and several hours before 1x during my midweek wash. I condition wash (no shampoo) my hair 2x a week with a deep conditioner after.
You also use it to seal in moisture when you have used a moisturizing conditioner w/leave in on your ends. The oils make your hair shiny or with a nice sheen.