Comment by gh-throw

The cheap ones are all petroleum-based, and if you get an unscented one you can really tell. Gross. Cheap scented ones still smell of it, even. Beeswax smells nice, even unscented, but is really expensive (if you're using them more than occasionally). Soy's OK and priced in between. A little harder to find than the petroleum ones, but that's not an issue if you're shopping online.

Anyway, as another poster noted, rarely is anything burning healthy to be around, even if it smells nice.