Candle wax can be made of a few different substances. Paraffin is the most common and cheapest type of wax. Soy is a paraffin alternative that was created to be better for the environment. It is softer and usually has a low melting point. Beeswax is the most expensive and hardest to find. Gel wax is made of mineral oil and resin.
Most candle wax is made from paraffin wax. Another name for this is alkane hydrocarbons. Liquid paraffin is also called mineral oil. A few candles actually contain bee's wax. You can find more information here: http://en.wikipedia.org/wiki/Paraffin