Like Bob pointed out, there is no caloric difference in the fats thyself.
Regardless, differences may arise from the different cooking times.
The main thing that needs to be avoided with any fat, especially when deep-frying is under no circumstance to overheat it. If you do that, you and up with a part of the fat burned and a good portion of that burned compounds dissolved in the oil.
Not overheating oils may be a bit tricky.
- If you heat you have to watch it carefully, especially before you put in the things that you want to deep-fry
- Avoid "preheating" the cookware before you put the fat / oil into it. When you put oil or solid fats into a hot pan / pot you inevitably burn a part of it. Unless for some reason this is exactly what you want to do, like for example if you are cooking with a wok , just DO NOT DO IT.
- If you neglected the point above for some reason (I sometimes try to "save time" and do that), do not be afraid to discard the the burned oil, clean the pan / pot, and start over again with fresh oil / fat.
- If you deep-fry with a lot of oil, getting a cooking thermometer might be a good idea. Oils may be heated safely up to temperatures ~200C (392F ) , but they do start to burn around 230-240 C (446-464 F). As this is impossible to "see" what temperate an oil has above ~100C I suggest getting a thermometer.
- The above point is very important, especially when you consider that a lot of deep-fry techniques require you to fry the things in the end for a short time at a very high temperature (usually 220C). One such example is the when you make french fries :P
- Get accurate information about what temperature is OK for what oil.
- Strain through a fine sieve the used oil after EVERY use or DAILY. This will ensure that there are almost no food parts still left in the oil that may bun in the oil in the subsequent uses of it. This point is very hard to do in practice, as the operation is time consuming, requires you to wait for the oil to cool down and is also messy as several things will get in contact with the oil. It is no wounder that so very few people actually do it :P
When you deep-fry you should be generally be less concerned bout how to make it "health" as more about how to avoid to make it unnecessarily more unhealthy without adding a ton of flavor to your food.
If health / caloric intake is your concern, you may find it more useful to learn alternative techniques that deliver similar results with adding less fat.