Candles are wonderful for providing a soft glow in the home as well as making it smell nice. They've been used for hundreds of years since first being created by the Egyptians and Romans, once mainly for lighting, now more for their romantic feel and ambiance. The early candles were made of animal fats, nut fats and beeswax, but in the mid-19th-century, paraffin wax, developed from petroleum was used so that they could be made cheaply and more easily.
Unfortunately, that modern wax also comes with a host of problems. The fumes that are released as it burns contains a number of carcinogens. While occasionally lighting one of these probably won't lead to cancer, doing it on a regular basis may not be the best idea for your health. Your best bet is to choose soy or beeswax candles instead.