That is great question and there is a lot debate about this topic. Of the 3 choices you provided (butter, margarine & veggie oil) my vote would be butter, especially if you unsalted butter. However, you have left out a few options that should be considered. How about Olive Oil, Sunflower Seed Oil or other exotic oils? My pantry has Grapeseed Oil, Sunflower Seed Oil, Coconut Oil, Extra Virgin Olive Oil and regular Olive Oil. In addition, I use ceramic non-stick fry pans which require far less oil than traditional fry pans. Hopefully this helps. My motto is "Cook well, Eat well, Live well."