Conventional wax candles are made from petroleum-derived paraffin and also contain additives to prevent color loss and aid in the scent. Some conventional candles use wicks that are lead based. All these emit toxins into the air you breath.
Organic candles are much healthier, they burn cleaner and emit very little soot. By using natural ingredients such as Soy, Beeswax or Palm Wax, you'll breath a little easier knowing you are not poising the air you breath.