This isn’t a “why” answer so much as a “what” and is what I’ve compiled from a few different books (Pollan’s In Defense of Food and a Men’s Health diet book, primarily).
Healthy fats
Monosaturated- avocado, canola oil, almonds, cashews, pecans, peanuts, olive oil, olives, peanut butter, peanut oil, sesame seeds
Polyunsaturated- corn oil, cottonseed oil, safflower oil, soybean oil, walnuts, hazelnuts, pumpkin seeds, sunflower seeds, mayonnaise, salad dressings, omega-3 fatty acids from albacore tuna, sardines, salmon, flaxseeds, flaxseed oil, etc.
Unhealthy fats
Trans fats (avoid at all costs)- margerines, vegetable shortening, “hydrogenated” anything, almost all commercially prepared food
Saturated fats (eat sparingly)- whole milk, butter, cheese, ice cream, bacon, high-fat red meat, chocolate, coconuts, palm oil, poultry skin, macadamia nuts, pistachios, brazil nuts