There are two types of sesame oil: toasted (aka dark, or Asian) sesame oil, and light sesame oil. Oil made from toasted seeds ranges from golden to brown in color and has a pronounced nutty flavor. It's primarily used for seasoning, not cooking (it gives a great boost to any Asian stir-fry, noodle dish, or soup), and a little can go a long way.
The lighter version (light refers to the color, not calorie or fat content) is made with untoasted seeds and sold in health-food or Middle Eastern stores. It can also be used as a flavoring, though the flavor is mild. It's also more suitable for cooking than dark sesame oil.
You can tell if a sesame oil is toasted by its dark color. Kadoya brand is a good brand of toasted sesame oil.
Taste before using to be sure it still tastes fresh.
Refrigerate both toasted and untoasted sesame oils to prevent rancidity.