Where the candles are bought from really doesn't matter at all. What can have a little more effect is how they're made, for example beeswax is typically thought to be better than a synthetic alternative and many prefer the use of a natural and home made process, people often trust that these things are more likely (but still not necessarily guaranteed) in candles purchased from pagan stores. However their is certainly nothing wrong with using a candle from any source and frankly I've found some of the cheaper stores' candles can be better quality than some of the most expensive.
As for shape it depends. For many things, no the shape isn't particularly important and it can be whatever you prefer. For some things a particular shape is more practical and for some more traditional (often religious) practices a particular type may be demanded or preferred. So really that aspect is a little variable but there is certainly no one shape that is innately better or worse than any other.
Of course if you really want to go all out with the candles and ensure their quality the best way is to make your own. That way you can ensure the ingredients and process, make it more personal (and thus typically more effective) and tailor the candle to your exact needs and infuse it with the colors, fragrances and oils you find most effective but many people don't have the time or prefer the simplicity of buying their own.