>>>Deep Sigh<<<
Aaahhhh, the big question.
Your question is so big that there is no real answer. I read on here about every day and I would answer any question you like.
I have always loved candles and have purchased many over the years. I never gave a thought to HOW they burned just that they DID burn and scented the general area they were being burned in.
6 years ago my life took a hard shift and I was burning more candles in an aromatherapy and comfort kind of way. I started to pay attention to HOW they burned more and more and realized that all candles are not alike. The mad scientist in me wondered.....Why??
At the time making candles became a much needed distraction from my life and a challenge that is both science and art. I dived in with both feet and quickly became muddled in the process.
After reading for hours each day, buying every book I could find on the subject, and finally ordering from some of the big suppliers and then diving in making a mish mash of different waxes and fragrances and wicks. I confused myself thoroughly.
After reaching a point of absolute frustration I stepped back and gave it a good think. I realized I had no vision I was just running in circles. I sat down and looked over my notes and started to piece them together. I saw my issue was just a lack of direction in the final product.
So.....I changed direction. I concentrated on ONE wax, ONE size of container and went from there. I started back at the beginning and poured 20 uncolored and unscented jars of test candles. Each one was marked with what wick was in it and I set out to JUST test the wick.
Once I narrowed down the three wicks that I was happiest with then I started back with some of my favorite fragrances and colors and again, testing them for what I was looking for in a final product.
This process took over a year, but I learned more about candles and wicks and wax and how they burned and more important.....the candle >>I<< wanted to make.
My heartfelt advise to someone wanting to make candles as a hobby or for gifts is this doesn't happen in a week. There are a lot of videos that will tell you how quick and easy candle making can be, LOOK just melt, color, scent and pour and YOU can make a candle!! EASY!!
If you watch the videos and many tutorials out there you will find one glaring thing standing out.....which frickin' wick are they using??? I can't believe how many out there are telling you to use "generic and vague" wax, and don't forget to use this "generic cotton wick" and choose a pretty jar and some candle color. The ONLY specific thing is the pretty jar and the candle color. Grumble, grumble, grumble!!!
So....the politics. Don't believe any of the bash crap out there about wax. There is NO superior waxes, they are just different. ALL WAX IS NATURAL. Every wax on the market except beeswax and a handful of other obscure waxes are heavily processed from SOMETHING to create the final wax. Beeswax is filtered yes, but it isn't processed in a giant refinery to create it.
Paraffin is a product of crude oil refinement, it can be liquid (called heating oil or kerosene), soy waxes are created by using solvents to pull the oil from the soybeans and then other crazy lab things happen to make the final wax product. Palm, I have no real idea but it has to be refined from the natural source as well.
Lots of people out there will bash paraffin and tell you soy is superior, or they will bash soy and tell you palm is superior, and back and forth. A Hog farmer will always tell you that hogs are superior to cattle, yet a cattle farmer will tell you the opposite. And so on........that is life in a free market system. Meaning free to bash at will.
So. The advise.
Look to local suppliers. DON'T fall in love with something that is only attainable at one supplier or from far far away. You will be much happier with lower shipping costs. Start local and search for what you can purchase locally.
Then. Decide WHAT you want to make. There are a lot of kinds of candles and each one has it's uses.
Dinner candles, unscented tapers, unscented tea lights or pillars or votives in pretty containers make "ambiance" candles.
Ritual candles, scented or unscented, made for specific purposes and needs and in specific types of waxes and colors.
Scented candles, can be pillars or containers. Usually pillars are lightly scented for a wispy scent or the heavily scented containers that can sometimes scent your house and even down the block... Also scented tea lights for confined places and scented votives for small places that are placed in pretty little votive holders.
Scented wax melts. All the rage, no burning wick but heavily scented wax that is molded in little molds or clam shells and then small pieces are heated in an electric warmer that has a hot plate or a low wattage light bulb and melts the wax to release the scent.
>>>Even deeper breath<<<
First decide on what you want. Stand alone pillars, votives, tea lights or containers. Every kind of candle has waxes that are formulated at the manufacturer for different purposes. Then there are usually a few different kinds of waxes for the different finished products. I think the most selection out there is with container candles because they are very popular to make. Of course reading the differences can be confusing for a new person who really doesn't know what the descriptions really mean.
Feel free to surf local suppliers and post any other questions....I am a tad long winded, but I also have a solid 6 years of experience that I can pull real world information from.
I can also interpret anything you have issues with and point you in the (hopefully) right direction.
...and as dixiedragon mentioned there are more soapers here than candle makers, but I happen to do both.