It sounds like the regulator on your gas connection is poorly made. This happened when a friend of mine bought a fairly cheap fryer from the NEX. He had to go the a hardware store and build himself a custom gas connection to make it work.
If your regulator doesn't give you good control, you run the risk of overheating your grease. Grease that gets even 30 degrees too hot before you realize it turns into a difficult situation to manage. That stuff holds tons of heat, and won't cool down for a pretty long time.
Chris' fryer started spattering all over his patio and wouldn't stop for a half hour. Make sure you can get the right kind of flame before you start a serious fry :)