The only thing you did wrong was to try to poach an egg in oil, at least hot oil. Dropping an egg into really hot oil is going to cause all the water in the egg to turn to steam very quickly, hence the nuclear mutant effect you no doubt got.
If you want to poach in oil then you need to keep the temperature way down. I don't see any reason you couldn't poach eggs in oil as long as it's below the boiling point of water. I could see both benefits and drawbacks to that method, if you try it please post the result. The viscosity of oil may help keep the egg together, then again the result is likely to be greasy, which defeats the purpose of poaching.
As for other fluids where poaching yields something more pleasant, why not water? It's what eggs are typically poached in, it works well, and it's cheap. As for other things I've poached with, the best result was salmon poached in Champagne. I made that for my girlfriend and she ended up marrying me. It can't be me, so it must be my cooking.