you can buy a lot online or in sex shops specifically aimed at wax lovers but tbh i would stay clear of them they're generally nothing more than over priced gimmicks.
the best ones to go for are simple ordinary every day candles you can buy in most shops.
dont go for beeswax, narrow tapered or extremely thin candles such as those used on birthday cakes(the wax doesnt have time to pool around the lip and cool a little) and always a rule of thumb dont go for the 'harder' candles because the harder the candle the more stearin it contains the more stearin the higher the temperature.
some people use soy based candles because of its cooler temperature though they're usually a bit more pricey harder to find and dont reach quite a high enough a temperature for me personally but they are good for pouring rather than dripping.
and although its often frowned upon recommending by the 'experts' try out scented and coloured candles tooas long as you test small less sensitive areas first you should be fine.
the ones we like best are black,grey and white in colour although they melt white and opium scented, they're the ideal temperature and smell wonderful unfortunately they're disappearing off the market over here and we're trying to import them from abroad but they're proving a bit elusive!
but basically i guess what im saying is just shop around and experiment.