You can use a white candle to substitute for any color, even dollar stores carry them. If you really need your colored candles, most malls have at least one store with a variety of colors to choose from. For most ritual work, I like using emergency candles. They're short, white, and thick enough to fit in most taper candle holders snuggly. When looking for a colored candle, I always choose ones that are not dipped with color, but rather the entire wax is uniform. Ones dipped are hard to cut down without ruining them, and I like cutting long tapers in half. For alter candles I use pillars.
If you're into making your own items, candles can be fun to make. You can find most materials to make them at a hobby or craft store.