About a year ago, I stopped buying vegetable oil. With what did I replace it? Mostly lard, butter and olive oil. I also use coconut oil, but although healthful and tasty, it's kind of expensive to use in large volumes and it smokes quite a bit at higher heats.
I've never even thought to try beef tallow. I don't really have a good reason why I didn't; probably just accessibility. I can grab a tub of lard at Wal-mart but I've never seen beef tallow.
Check out Kelly the Kitchen Kop for more information on healthy fats. She has many postings on the topic. Also may be of interest to any fellow tightwads is the recent post offering a chance to win a tub of rendered beef tallow.