Period candles could be made from two materials - tallow or beeswax. Tallow candles were yellow and smelly, whereas beeswax candles were nearly white and if they smelt at all, it was a pleasant smell of honey. While the poor made do with tallow candles, the rich and the church used beeswax candles refined so they were as white and pure as possible. Modern candles are generally made from the very white parrafin, and many yellow beeswax candles availible today are deliberately coloured yellow or purified less to keep a yellow colour to distinguish them from parafin (although sometimes you can get asian imports beeswax candles that are cheaper and whiter, although some may contain part parrafin).
Modern candles are molded (giving them their uniform width), a techniques that was not known until late in period. Prior to this candles were produced by techniqes such as dipping, dripping or rolling, all of which were very time consuming, adding to the cost of this article. Because of this non-uniform width, most candle holders or candelabra were of the variety with a bowl to catch drips and a spike to impale the candle on. Candleabra with fitted sockets for candles are a very late period invention, as they must postdate the common manufacture of molded candles. (although you can use these to hold your new oil lamp :-))
Until the renaisance, candles were not prefered as the main source of lighting a home - oil lamps were much more economical and equally bright, with no smell. Beeswax candles were used extensively by the church however, where lighting candles was important for religeous purposes.