My latest New Statesman column (sorry -- the link is simply to the home page, because the column itself appears not to be on the site) is about burning food: setting it alight, charring it, heating it until it gives off smoke. It is a fashionable thing to do, but is not healthy and is rarely tasty.
Burning oil -- even vegetable oils with high smoke points -- is easily done. If you cook onions over a medium heat, and if there is room in the pan, the exposed oil will soon start smoking, to the detriment of the flavour of the dish. High heats are essential in wok cookery, to keep the ingredients fresh and crisp; the trick is to have everything constantly on the move. When you brown the meat for a stew, throw away the oil afterwards.