Many candles on the UK market are made from paraffin wax and synthetic fragrances. When burned, paraffin wax (made from petroleum waste) is stated to create toxic benzene and toluene chemicals.
"Some of the particles are so tiny that they completely exit the deepest lung tissue and enter our bloodstream, which could potentially cause problems.” Professor Ian Adcock from the National Heart and Lung Institute at Imperial College London confirmed to The Independent that the dangers should be recognised.
This article from the Independent is interesting about Hygge and candles. http://www.independent.co.uk/news/world/europe/hygge-denmark-happiness-wellbeing-candles-dangers-respiratory-breathing-problems-experts-warn-a7373211.html
The burn you get using soy wax seems to be much cleaner and less smoke is produced as it burns.