When I deep fry them which is hardly ever any more I always used extra light virgin olive oil.The last year or so I have switched to the recipe on the "Rock of the coast" station KDUX.They have a baked clam recipe on there and it's good and will most likely not fry a clam again.

Flour / egg wash / Crushed fine ritz crackers / melted butter and 500 degrees in the over for 3 minutes then flip and go another 3 minutes,good stuff easy clean up.Try it,you'll like it.
Good luck,
STRIKE ZONE

P.S. I use a rolling pin to make my ritz crackers fina as dust.