Saturated fat got the blame for artereosclerosis (stuff sticking to your arteries) because of faulty research conducted in the late 60s and early 70s. Transfat (partially hydrogenated oils/shortening)is the real problem. For some quick points, read:http://www.westonaprice.org/mythstruths/mtnutrition.html
The problem with these oils is that the body doesn't really know what to do with them. Your body will ingest pretty much every drop of fat that you shove in the pie-hole (btw, all pie crust is made with trans-fat, so avoid it...). So any fat you consume, has to be metabolized.
Through a long stint of evolution, your body learned how to deal with mono-unsaturated fats, poly-unsaturated fats ans saturated fats. Trans-fat (which is an unsaturated fat modified by a industrial process to rearrange the moeluclar chain), has been around since the 1930's. Your body can't really deal with them. Don't eat them. Ever.
The other problem that people will also face with a high fat diet is that they also have a high carb diet. Your body can and will metabolize fat as an energy source, but fat is harder to metabolize than carbs. If you have a lot of both the carbs get used first. To get your body into true ketosis (fat-burning as a primary energy source), you need to deprive it of carbs. For most people, this isn't necessary and you can strike a healthy balance, but to say, 'you can never eat enough...', is untrue. You've got to cut back somewhere else.
It's more appropriate to say that given the choice between a handful of nuts and a power bar, choose the nuts. Whether you have a high fat diet, a high carb diet or a mixed diet, anything that doesn't get burned will get nicely tucked away by your body...