There are seventeen varieties of olive oil at the grocery store; you grab one of the cheaper ones because they're all the same, right?
That used to be my mentality. Yesterday, an Italian olive oil producer with a small farm just outside Rome came to visit the CIA, and he taught us some useful things about getting your money's worth when it comes to olive oil.
Buy olive oil in tin cans, or if there are no tin can varieties, get the darkest glass bottle. Since olive oil is pressed from the fruit of the olive, there is quite a bit of chlorophyll in the oil. The more it is exposed to light, the more oxidation will occur. This process will drastically alter the taste of the oil, and detract from its natural peppers and smoothness.
Caponetti's Organic Olive Oil
Buy the extra-virgin variety. It's usually only a couple dollar difference between the no-designation kinds and the extra virgin stuff, so spend a few extra dollars and you can be sure you are getting olive oil pressed from young (flavorful, antioxidant-rich, therefore healthy) olives. If you don't see a designation, as in it just says "Mediterranean olive oil," then what you're getting is probably a second or third press, where the waste (squeezed olive flesh, pits, leaves etc.) from the first press is squeezed again.
Lorenzo Caponetti, the Italian olive farmer, runs a bed and breakfast and sustainable farm in Tuscania, a small town in Lazio 80km northwest of Rome. Check out his website for olive oil purchasing information and photographs of his beautiful property.