There is definitely a difference, but I don't have the know-how to give too many specifics. The smoking points are different, for one thing, and they don't all heat at the same rate. I find that vegetable/sunflower oil heats up much faster than olive oil, but as you say, things cook less evenly (eggs being a notable example). It helps to heat it slowly, but that takes away the advantage of faster heating/cooking. Certainly the taste is different, and I find that almost everything tastes better with olive oil (except for the things that taste better with sesame oil). For a happy medium I often use peanut oil, which has almost no flavor, heats quickly, has a high smoking point (so you can get it really hot and keep it that way, particularly useful for deep-frying), and is cheaper than olive oil.
Olive oil is definitely "watered down" with other types of oil, but I'm pretty sure it's something like at least 50% actual olive oil, which is indeed healthier. Something about more proteins or something, and different types of fat... Lots of chemistry. Anyway, the taste alone is a good enough reason for me to use it for most things.
Regarding wine, as I think about it, there are a couple of red wines that I actually do like the taste of. They are Bulgarian, and they are very sweet. Same with svařák - it's loaded with sugar and citrus and cinnamon and cloves. Sweet. But any red wine which is not sweet, especially those which are called "dry," taste like guzzling vinegar to me.