If we are talking about kerosene lamps one thing must be mentioned . There are different types of them and not every type can burn with every type of fuel .
The most efficient are tubular wick oil lamps and Aladdin brand lamps . Those do not smell bad .They have just a tint of odor and do not smoke the chimneys as fast as others ,but are specific and need knowledge to operate . Some heat up allot and must be treated carefully ,never overfilling and all ways using the right fuel(kerosene yes- and not anything that flashes bellow 140C) . The other flat wick lamps will consume little ,but will also have very small light output and IF you don't use n-paraffin fuel with them they will smoke very much . If you use "paraffin" (kerosene) they will burn brighter ,can be adjusted higher ,but will smoke .Using any type of vegetable oil on an oil lamp of the above mentioned might destroy it .It is too dense ,will not operate and clog the wick . Using diesel is dangerous ,since there are toxic additives that you don't want to inhale .
Vegetable oil CAN be used with an Argand Lamp and normal oil lamp .An Argand lamp is basically a tubular wick lamp with central draft chimney ,but the tank is positioned higher above the wick in order to ensure flow of the oil .
Any use of mineral spirit ,or gasoline is prohibited .The flash point of those is below 100C and it can easily catch fire and explode .