A new study put out by the American Chemical Society has linked paraffin candles with possible health problems. Paraffin is a petroleum byproduct. In fact, it is the last byproduct removed in the refining process, right after asphalt. The fumes released by paraffin candles are similar to the fumes emitted by burning diesel. Next time you are planning a romantic candle-lit dinner, you may want to think twice about the type of candle you use.