There are many different kinds of candles, many different candle making techniques, and various supplies you need. Before you pick a project to try you might want to check out all the candlemaking help pages I have found.
There are a variety of project ideas here - from the very simple to more advanced creations. There are even ideas for making candle holders! Please make sure you read all instructions carefully; and, once again, make sure to follow all necessary safety rules.
Candle and Soap Making site. On those pages, you can find a wealth of information; including candle supply resources, basic and advanced candle making instructions, and many more candle making projects.