Any lamp oil is safe indoors, but there is a difference in how they burn, how bright the light from them, the odor, the soot they produce, and how long they burn on the same amount of oil. Ultra-pure is better because it has no chemical additives and no odor, smoke, or soot. But also the wick is often partly responsible for the soot and smoke, usually from being turned up too high.
Aladdin burns pure kerosene, other lamps can burn either kerosene or oil. I love my Aladdin lamp and have refined kerosene for it. It does not have an odor of kerosene because of the way it burns.
Wikipedia has a write up of some oils and their pros and cons:
Kerosene lamp - Wikipedia, the free encyclopedia
Lamp or Candle Oil is liquid parafiin wax. Lamp oil burns slowly and evenly.
I know you didn't ask about kerosene, but it might be worth reviewing it:
Lamp Oil Vs. Kerosene | eHow.com
"There are two types of kerosene, K-1 and red Kerosene. Red kerosene is slightly less expensive than K-1 and has been dyed red. It is generally used for tractors or generators. Burning red kerosene is harmful to your health because of the by-products of the dyes.
K-1 kerosene is extremely popular because it is easily available and typically very cheap. You can purchase kerosene from filling stations or you can purchase it in prepackaged containers. K-1 contains sulfur and other impurities that make it smell unpleasant when it is burning.
Lamp oil is in the same family as kerosene, but it has been purified to make it burn cleanly. The burning of lamp oil produces fewer pollutants than burning kerosene. It does not produce the unpleasant odors of burning kerosene and can be purchased in a variety of scents. Lamp oil can be purchased in most supermarkets, but it is more expensive than kerosene. It also does not burn as brightly as kerosene."
Odorless Kerosene (Klean-Heat, Deobase, odorless mineral spirits)
This is kerosene that has been "sweetened" with most of its mercaptans (sulfur compound) and aromatics removed. It supposedly burns cleaner, odorless, with less smoke and soot. It may also have a higher flashpoint than K-1 (125°F or greater vs. ~100°F) and a much higher price.
If you have an Aladdin lamp, this site says:
Preparedness Nuggets Page 5
"Because the Aladdin uses a mantle, cheap K1 kerosene can be used if necessary with minimal smell. The Aladdin mantle burns the impurities that standard wick lamps put into the air. The mantle acts much like the catalytic converter on your car. The mantle burns the impurities that are released from the primary combustion of the wick.
In other oil lamps, you can use standard lamp oil vs. ultra pure oil which is the purest grade of oil. Kerosene is much cheaper than either lamp oil but does not burn as clean. The key is a reduced wick for maximum efficiency without smoke with any fuel. Even the Aladdin has some unburned product which can cause nausea and discomfort for some.
Aladdin will produce the most light for the least fuel consumption and emissions. No simple wick lamp can compare. The Aladdin is totally quiet and requires no pumping. It has a round wick that works by capillary action like a simple lantern."
Home Depot sells a small 8 oz. bottle of "kero-Klean" kerosene fuel treatment that "reduces odor, cleans wicks, reduces condensation, extends wick life, and increases efficiency of kerosene. The stuff is cheap and treated Kerosene and lamp oils do seem to burn cleaner with this product.
The cheap kerosene makes a backup if we run low on lamp oil."
Hope all that answers some questions. I prefer the Aladdin for the most light and do not notice any kerosene smell. The other oil lamps, though, are far less expensive and definitely have their uses. For those, I use lamp oil found in grocery stores and have no problems with it.