The ideal way to light Chanucah candles is using olive oil and cotton wicks. Olive oil makes a bright, clear flame. For this reason and also because the priests used olive oil to light the menorah in the Temple, olive oil is best.
But oils of all sorts, even from a non-kosher animal, and wax candles are also ok for lighting the Chanucah lights. A gas flame is not acceptable though, as it has no wick and is not considered a candle.
Offering an insight into the everyday problems of the 16th century, the Shulchan Aruch (Orach Chayim 154:12) recommends against using oil if you’ve found a mouse in it mishum mius (because it is revolting).
The late Rav Ovadia Yosef ruled that IDF soldiers could use gun oil for the chanuciah, so long as they had their commander’s permission.