(I now have phrases of a Monty Python song running through my head. You know the one I mean?)

I believe it is cheaper. It's been a while since I've bought the plain KY (there is a wide variety of such things available--warming, his/hers, etc.), but you can get a small (8 oz) bottle of olive oil for around $3-$5.

I have extra-virgin (oh the irony) olive oil in the kitchen. Other varieties (like light for baking and plain for sautéing) as far as a know don't come in smaller (less that 16 oz.) quantities. At least, not a my grocery.

The drawback is that it's messier, since KY is a gel, whereas olive oil is a liquid.