In general refined oils have a longer shelf life and less prone to going rancid.
For butters, it depends on what you want to do with them. For example, I always get raw, unrefined cocoa butter for my milk chocolate soap. However, if you want the property of cocoa butter but not the smell, then go with refined. Unrefined shea butter can also impart a slight smell in soap. I don't use it in high enough percentage to worry about it; and I don't mind the smell myself. Others prefer a refined product.