Generally one shouldn't heat beyond the smoking points of oils used in cooking. Here is a ref page:
http://www.goodeatsfanpage.com/CollectedInfo/OilSmokePoints.htm
I have several types of pans, I like stainless wares that have aluminum or copper disks at bottom, these pans heat quickly and evenly (e.g. Scanpan stainless) Multi-ply pans work well too (e.g. All-Clad, Cuisnart Multiclad), but heavier. Most of stir fry or saute are done in a stainless saute pan, and sticky ingredients like fish fillet are prepared in Scanpan pans then added in a saute pan with other ingredients.
For real high heat, like searing meat, I prefer Le Creuset pans. And finish them off either in the same pan or in a stainless pan where the sauce is prepared.
Once you're used to the idea of using diff pans for diff temperatures, it's pretty easy to manage. It's just hard to find one pan that can do it all.