First of all, if you plan to deep fry soon in the future, chances are you can save the cooking oil to use again. Strain it through a coffee filter or several layers of cheesecloth to remove any particles and crumbs, and store it in an airtight container in a dark place. You can only re-use oil once or twice, and give it a sniff before using it; if it smells rancid, don't use it again. Also remember that each time you reuse oil, the oil deteriorates and the smoke point (the temperature at which it will burn) decreases.
If you decide not to save your cooking oil, or if it's gone bad, it's important to properly dispose of the cooking oil. It's wise to check with your local solid waste department to see if they have any recommendations or regulations about disposing of oil. One option is to let the oil cool completely, then pour it into a non-recyclable container with a lid, then throw it in the garbage (You can freeze the container of oil first to harden it). If you do a lot of frying, you might want to invest in the Fat Trapper system (Compare prices). It's a plastic receptacle that holds foil-lined bags; just pour the oil into the bag and when it's full, seal the bag and throw it in the garbage. Another option is to mix the oil with an absorbent material, such as cat litter, sand or sawdust, before throwing it away.
Some cities even have drop-off points for used cooking oil that will be recycled into biodiesel. You can check Earth 911 to see if there's a recycler near you that will accept it.
However you decide to dispose of your cooking oil, don't dump it down the sink drain or flush it down the toilet because it can clog pipes and eventually even pollute local waterways.