Sand - either from the beach or sandbox. Size, of course will depend on how large your candle is and how many you want to make.
Moisten the sand enough to where you can make holes in it without the sand falling back down into the hole. Then dig your hole in the sand the shape you want it. The easiest to start with are tapers but pyramids and cooking pots aren't much harder. If you want legs on your candle - take a pencil (un-sharpened) and poke hole for the legs in the sand.
When the shape is finished - hold a piece of wick over the approximate center and gently pour the wax into the hole, making sure the legs (if any) are filled.
Allow the wax to set, which can take a while. After testing wax to make sure it is ready, slip fingers into the sand under the candle and gently lift it out. Brush off any excess sand. If the legs are uneven, you can even them by sitting the candle in a hot frying pan.
You are done!
~ from Maat's Book of Shadows