As with other oils, heat does have an effect on the quality and composition of olive oil. Amounts of antioxidant polyphenols (which are in highest concentration in extra virgin olive oil) decrease, as do amounts of vitamin E. However, the healthy "monounsaturated" fat in olive oil (from oleic acid) seems to be fairly resistant to heat during cooking. In fact, in a number of studies which found health benefits associated with increased olive oil intake, participants consumed the olive oil both unheated (on salads, etc.) as well as from foods in which it was used in cooking. See the full answer for more information and tips on minimizing losses when cooking with olive oil >>
Also, see the full Extra Virgin Olive Oils Review, which includes CL's Top Picks.