Another natural alternative to paraffin candles are soy candles, made from soybean wax. This wax is actually created by processing soybean oil, a common ingredient in many types of cooking. Like their beeswax counterparts, soy candles last longer and are far safer in a closed or less ventilated room than paraffin candles, while costing a bit more due to these safety properties. An added bonus of soy candles, however, is that they are generally hypoallergenic. If candles usually make you sneeze, you may want to opt for those made of soybean wax.