The biggest issue using any used oil are the soluble contaminants that get burned and thus introduced directly the to atmosphere. There was a local ag operation here in Florida that got shut down because they were running their equipment on used oil that then deposited on the crop essentially turning it toxic. Some people got sick eating the stuff and it didn't take much sleuthing to figure out the problem.
In the case of used cooking oil there are mono and diglycerides in the oil that cause significant corrosion of the engine components that come in contact with the fuel, mostly the fuel pump and injectors. Processing the used oil into biodiesel gets rid of these "impurities" resulting in a clean renewable fuel that's inexpensive and easy to produce.
I'm almost finished with a 55-gallon processor that sits in the corner of my home garage and is made from a scratch-n-dent new water heater from the local home improvement store. Total investment for all the equipment is less than $500 and that's essentially buying everything new. My current estimation of fuel cost is about $.70 a gallon and that's including the cost of the equipment spread out over a year. If you want to try a fun little project that can save you a lot of money and get the whole family involved in learning independence check this out:
http://www.biodieselcommunity.org/ My favorite new sticker: BioDiesel: Making terrorism irrelevant since 1912. 😄