From the 'Desperate Times and Desperate Measures' department there are also fat lamps. Pretty much any nonflammable container and a wick, a bit of natural fiber, preferably cotton, can be used to burn fats and oils.

The oil off the tip of the peanut-butter works. As would, shall we say, rendered fat ... looking sideways at her overweight companion and testing the edge on her knife ... well ... you get the idea.

You might also try engine oil or diesel, although last I tried them they burned poorly, smoked a great deal and produced fumes that were clearly not healthy. I suspect a lot of this comes from the additives that are added to both. Do NOT use gasoline.