I used to teach a class on nutrition, and the fat topic is one that confuses most people, so let me try to help:
For fats, like Mcdonalds, Its mostly saturated fat which is the kind of fat that can clog your arteries and raise your cholesterol etc (saturated fats are hard at room temperature, butter, animal fat, lard)... You want the amount of saturated fat in your diet usually less than 10-15 grams a day.
On a nutrition label, look at the amount of just "fat" it should be listed in grams, a typical person eat from about 20-30% of fat from their diet (Like Steve had mentioned) so if your eating 3,000 calories then the amount of fat you should be having would be about 65g-100g/per day. If you were eating 2,000 calories then your range would be around 45-65g/per day.
Generally Trans fat is a no! I would reccomend not ingesting trans fat at all. This kind of fat is a weird molecule that your body cannot digest, so it literally stays inside the body and wreacks havoc on your arteries, heart, etc.
Other fats on a nutrition label such as unsaturated fats are good fats. Unsaturated fats are liquid at room temperature and these can help your cholesterol, and weight loss in a good way (In moderation at least) Fats such as polyunsaturated, monounsaturated, etc...are very good fats and help with skin, hair, etc. But make sure that you dont go overboard on these kind of fats, because they are still fat---and still only need about 20-30% of your diet.
Good sources of fat like steve had mentioned, would be fish, nuts (any kind of nuts really the best would be unsalted, non-roasted varieties) avocados, canola oil, olive oil, peanut oil, flaxseed oil, corn oil, sunflower oil, soybean oil, seeds (pumpkin, sesame, etc).
I hope this helps a little: heres a site that explains more in depth about fats