Pure beeswax and vegetable-oil-based candles are the healthiest
choices for us and for the environment. We have a range of helpful
information about candles on Care2, from how to make beeswax
candles yourself, to the dangers of candle soot, to how to safely
remove dripped candle wax, and resources. Here is an index page for
it all:

Candle soot can cause indoor air pollution. Make sure you don’t burn candles with metal wicks and be aware that aromatherapy candles can cause serious soot problems but for health and for objects such as computers. Some mistakenly think that the soot they are getting from their candls is coming from their furnace. For more on soot, read this.

Tips for Making Safe Candles Yourself - How-to Guide.

Paraffin is a petroleum product, which is not a renewable resource and causes pollution in its production.

Pure beeswax and vegetable oil candles are readily available. Some brands include Beeswax Candles; Pure Light Candles; and Pure Essential Oil Candles.