Is there any halachik benefit or hiddur to using a better tasting oil for the Chanukah menorah?
The halacha is its better to use olive oil (see רמ''א שו''ע או''ח ס' תרעג) because menorah is a zecher for bais hamikdash. in the bais hamikdash they used only the first drop because it was the highest quality and best tasting.
It would than be sensible to conclude that for the same reason we should use the best quality/tasting oil. see לבוש תרע''ג