large fat beeswax candles are good - you can often buy them cheaply, they are good mimics of period candles, white/cream ones don't usually contain nasty scents that people have allergies to <grr>, and they will last nicely, without going out, through several feasts. They also generally keep the light at the height required for seeing your food.
emergency candles generally require a candlestand, drip wax more, blow out more often and shed less light, but still work quite well. You can generally buy a pack of 10 from the supermarket for just a few dollars.
Tealight candles, are cheap and provide lots of light, however they burn very hotly, heating up the feast hall, which in the australian winter is generally quite hot enough by the time everyone arrives (and let's not mention the australian summer). They also go out more easily, wax stain tablecloths (and more permanently than other candle types) and can be hotter to touch. Other types of candles (including the very similar but not as hot votive candles) are much better alternatives for an indoor feast.
period candles were generally white or natural coloured, although in the renaisance red, green and blackish candles are rarely shown.