There are many types of waxes that can and are used for candles, some being Parrafin, Palm, Soy, Beeswax,and Coconut.
Parrafin wax is a petroleum by-product that is made from the waste when crude oil is refined into gasoline. It is low cost, but incredibly unsustainable. Studies show that inhaling paraffin candle fumes can cause adverse reactions including nausea, vomiting and headaches. Additionally, when burned, Parrafin creates toxic benzene and toluene which are carcinogens that can lead to lung cancer.
Palm wax is derived from palm trees. Palm wax is considered a safer alternative to Parrafin wax, but unfortunately it is also very unsustainable. Land in Indonesia and Malaysia has been cleared in order to grow the palm trees from which palm oil and wax is derived. This land is home to many old and diverse rain forests in the world, and the rate of deforestation in Indonesia is one of the world's largest CO2 emitters. Safe to say this product is not environmentally friendly.
Soy wax are made from Soybean oil. It is appealing in that it does burn slowly, and is a safer alternative to parrafin, however it has trouble throwing fragrances. Soy wax is often marketed as the "safest and most eco-friendly of the waxes". This unfortunately is not the case, the soy in soy candles are commercially farmed using high intensity farming practices which includes fertilizers, pesticides, herbicides, and chemicals all from GMO seeds. By buying soy candles you are supporting the production of GMO's. Additionally, even candles that claim to be 100% soy wax based, must be processed with a small amount of paraffin.
Beeswax comes from the hives of honeybees! Alone, Beeswax candles can be a good option (if they are 100% beeswax) they are non-carcinogenic .However, it is extremely difficult to turn these into scented candles because they do not hold scent very well. It is very difficult and expensive to find beeswax. Additionally, the availability of beeswax has been affected by CCD ( Colony Collapse Disorder).
Coconut wax is obtained through a natural process which coconut meat is gathered and cold pressed until it creates a oil. Using a hydrogenation process, the refined coconut oil is then transformed into coconut wax. It has the slowest & cleanest burn and holds a higher fragrance concentration than Soy. It is said to be more "natural" than Soy because it is organic and more eco-friendly to harvest. It is vegan and sustainable.