It really depends on the spell. Some spells need the candle to burn out completely in one sitting, some only need it lit for the duration of time it takes you to do other things, like repeat a chant. Still others are to be preformed over several nights where you need to snuff the candles and relight it. And then there is candle scrying that can be done by watching the flame and seeing images in it or by watching the wax drip and seeing what you see form from it. Either of these may need a full candle or just until you get the information you need.
There is an old idea that if you need your candle to burn competently for your spell and something happens to the candle before it should go out (i.e. wind, rain, or it just goes out with no clear reason) then this is a sign of an incomplete spell. It could be that as you were casting your spell other magic was blocking it. This magic could come from anywhere including the ideas that the gods are just telling you no. If this happens meditate on the situation to help you figure it out.