WHY THEY'RE BAD
Paraffin comes from crude oil, and it's filled with all kinds of nasty chemicals, just like gas and oil are. (Paraffin candles even contribute to global warming -- emitting about 10 grams of carbon dioxide per candlelit hour.) One study observed that the soot produced by paraffin candles is very similar to diesel exhaust:
Diesel soot and candle soot share the same physical and many of the same chemical properties which are believed to contribute to both toxicity and carcinogenicity. These similarities point to a similar potential for adverse health effects.
An August 2009 study by the American Chemical Society found that burning paraffin candles releases compounds like toluene, benzene, methylethylketone, naphthalene -- the first two on the list are known carcinogens.
Many commercial candles also have lead wicks, which -- big surprise -- release lead into the air when burned, thus helping rot your brain. Lead wicks are illegal in the U.S., but they are easy to find anyway -- EPA researchers had no trouble finding candles with lead wicks when they did their candle study.
WHAT'S THE ALTERNATIVE?
Look for candles made of beeswax or soy. Both have been found to be significantly less toxic than paraffin. If you want to use up your old paraffin sticks, just make sure to provide adequate ventilation.