Paraffin wax comes from petroleum, a by product of crude oil which is a finite resource. Personally, I believe that the less oil derived products we use, the better. Soya wax is very much a sustainable product - you can see lots of information on the soy wax I use here: http://www.ngiwax.com/aboutecosoya/purityofecosoya.html
Also in terms of burning, paraffin is more likely to leave a soot residue and emit toxins into the air and cheaper imported candles may also have lead wicks
'According to the EPA’s research, “Candles with lead wicks have the potential to generate indoor airborne lead concentrations of health concern. It is also possible for consumers to unknowingly purchase candles containing lead wick cores and repeatedly expose themselves to harmful amounts of lead through regular candle-burning.”'
Basically I think some common sense should be used - if you are buying candles in discount stores or supermarket chains at knockdown prices, chances are that the ingredients are shoddy and possibly harmful to health!
I've also noticed recently a few candle companies advertising their products as being 100% natural when in actual fact, it's clear to me that they're not 100% natural. I try to be as eco friendly as possible with my candles but I won't state that anything is 100% natural unless it's pure beeswax or soy scented with essential oils.
I primarily use special candle fragrance oils which are high quality and phthalate free (for more info on phthalates see here: http://en.wikipedia.org/wiki/Phthalate ) .I also use cotton core wicks and most of my candles are dye free also. If you want to choose a candle that is competely natural you should select either a beeswax candle or a soy candle that is colour free and 100% pure essential oil.
My essential oil melts are an example of this: Essential Oil melts on Etsy
I will also happily make beeswax candles to order, just email or contact me here!