One thing that I'd be cautious about with WVO is the acidity. Refined virgin vegetable oil is either pH-neutral or very mildly acidic. Once it's heated up to a high enough temperature, many times, some chemistry happens, and it becomes really hard to say exactly what this substances is, but it's definitely not just oil (as in glycerol ester of various fatty acids) anymore. WVO you get from various sources isn't the same stuff, your luck may vary. I know that WVO can be pretty acidic in some cases (from free fatty acids?), and in that case it can do serious damage to metal parts in the IP and elsewhere through chemical corrosion. I've read about non-refined virgin vegetable oil doing that, although I don't know of any first-hand accounts of WVO-caused damage. Does anyone know of some solid or semi-solid data on WVO acidity and its impact?

You also want to be careful with home-made biodiesel. The basic process sounds pretty easy in various internet accounts, but it can be and does get screwed up. Even commercial biodiesel manufacturers sell off-spec fuel sometimes, even though they work with an easier starting material (refined virgin oil). Processing WVO into biodiesel requires varying amounts of chemicals and strict quality control, it's very hard to make it a fool-proof process in home conditions.