General:
* Wax (this is the most general term, but it could refer to any type of wax)
* Candle material
* Paraffin (this is the most common type of wax used in candles)
More specific:
* Beeswax (if the candle is made of beeswax)
* Soy wax (if the candle is made of soy wax)
* Palm wax (if the candle is made of palm wax)
Figurative:
* Candle drippings (this could be used if you're talking about the melted wax)
* Candle residue (this could be used if you're talking about the wax that's left behind after a candle has burned)
The best word to use will depend on what you're trying to say. If you're just talking about the material that candles are made of, then "wax" or "candle material" is probably sufficient. If you want to be more specific, then you can use one of the types of wax mentioned above.