If you or your sub really like pain (as I seem to do), the "jell" type of candles is the way to go. They come in glass containers and are often scented. Depending on the colour they can burn at really high temperatures and they do not just drip, they splash!
Caution! these candles are not for the uninitiated. Just make sure you are gagged if your master does not appreciate screaming. Have fun!