Did you know that candles can destroy a perfectly good paint job in your home. Yes....I have gone into many many homes that have black stripes on the walls and ceiling from the residue from burning candles. Candle soot will attach to the studs behind your sheetrock and appear as black stripes. This soot will not wash off as it is petroleum based. The only way to get rid of it is with a harsh chemical treatment or with primer and paint.
This time of year, I had candles burning all the time...until I learned this.
In addition to cigarette smoking, candles provide another indoor pollution mechanism that is hard to replicate.
Most commercially sold candles are made from Paraffin (petroleum based) and emit toxins and carcinogens like benzene, toluene, formaldehyde, acetaldehyde, acrolein and soot into the air.
The ‘bargain' candles produced both here and overseas are even more dangerous.
We would not consider burning a diesel engine in our living room, but Paraffin candles emit many of these same dangerous particulates. Gel candles are also petroleum-based, and therefore just as polluting.
If ambiance is your middle name, then candles are probably your best friends.
However, the only good options are made from either Soy
http://www.soy-wax-candles.com/why-soy.html
...or Beeswax
http://www.candlebeefarm.com/ 
Of course, anything you burn will create smoke, but burning soy and beeswax does not emit those same toxic chemicals.
Real soy and beeswax candles should be clearly marked but exercise caution. Some manufacturers destroy the benefits of beeswax and soy by adding... you guessed it... petroleum-based Paraffin.
It is also important to buy candles with a cotton or paper wick. Shiny wire wicks can contain metals like zinc and lead.
One alternative to burning the high-polluting aromatic and scented candles
... is to create a ‘scented soup'.

Bring a few cups of water in a saucepan to a mild simmer, uncovered.
Add a tablespoon of cinnamon,
...a teaspoon of whole cloves,
a teaspoon of vanilla,
...some orange peel 
Or any other aromatic spice you particularly like. After an hour or so last night's fish dinner will be nothing more than a memory.
Breathe easy and enjoy life all you can.

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