It's high in monounsaturated fats and studies found that various compounds in EVOO prevent the formation of free radicals, volatile organic compounds, aldehydes like formaldehyde, etc compared to other cooking oils.
One study looked at the use of frying oils over time, since the longer the oils are heated, the more they decompose into harmful compounds. EVOO won out on that, too, and significantly inhibited the creation of harmful products. This would be relevant for restaurants, which tend to reuse oils over long periods of time, or anyone that cooks big meals for themselves or others. If you're going to be standing over a pan cooking for hours at a time, it's worth reducing the amount of harmful compounds you'll inevitably breathe in.
Typically refined oils are preferred for frying because they can be used at higher temperatures, but I've found cooking with EVOO to be just fine, just don't cook things at temperatures where it might start smoking.