Candle Wax is made of paraffin wax. Paraffin wax is made from petroleum in the oil refining process. It is naturally clear and odorless when burned, though most candles include dyes and fragrances.
Have to agree with the above, candles where first made by natural wax which was beeswax, nowadays they probably do use paraffin however back when they where first made this was as stated above not around then.
I love to make my own candles myself using plain wax and adding my own essential oils to the wax, it's enjoyable and can allow you to make so many different scents.