Candles are one of the easiest magical tools to find, since they are sold everywhere: "dollar" stores, grocery stores, discount department stores (such as Wal-Mart or Target), craft stores, pagan shops, online shops, and through specialty dealers such as Party-lite. Don't be afraid to shop around and get the best deals! I tend to get my "magical" candles from either the local craft stores (for me, that's Michaels and Jo-Ann Fabrics) or from local pagan shops. I save my high-quality stuff from Party-lite for home decoration.
You can also purchase kits from craft stores or online shops to make your own candles. I've priced supplies and while it can be a little expensive to get started, once you've gotten the materials the cost per candle is fairly cheap, as the molds are made of metal or high-temperature plastics and are reusable. Plus, you can add essential oils, glitter, herbs, and colored dyes to customize your candles. Depending on the wax, you may even be able to melt it down in the microwave. (Always follow the manufacturer's directions, though, as you don't want to ruin your microwave!) Candle Making for Beginners (http://www.storesonline.com/site/837062/... and Candle Making Instructions (http://www.wicks-wax-scents.com/candlema... have a list of good tips for those just starting out.
Whether you're buying candles or making them, there are lots of different shapes you can choose: birthday candles, tea lights, votives, tapers, small pillars, tall pillars, giant 3 and 5 wick pillars, etc. These will all have different burn times depending on the size of the candle and the type of wax. Some may have a predicted burn time listed on the packaging, but this can vary slightly. Generally speaking, the smaller the candle the shorter the burn time. Candles made of hard wax, like Palm, will have an impressively long burn time for their size, such as my Bayside-scented Trip Light candle from Lytha Studios (http://www.lythastudios.com/misc/candles...
If I'm working a spell where the candle needs to burn out completely, I'll use a small candle so I don't need to spend a lot of time keeping an eye on it. Tealights and short (4-5") tapers are perfect for this. Tealights are very small and usually come in a metal cup and will burn out in a few hours. Be sure to put them in a holder, as the metal cup will get warm and may damage surfaces. Cheaper tealights will only come in white, but you can get them in large packs so they're a good buy for your money. I've purchased colored tealights from Party-lite in glass cups, but again, I find those are too expensive for spellwork.
