Candles are very cheap: you can get hundreds of small candles in a bag for the price of a Happy Meal, and the bigger ones are not much more expensive. When it's so easy to just buy your candles in a shop, why on earth would you want to make candles yourself?
Well, that's like asking why you'd want to do a painting yourself when you could buy a print and put it in a frame. Candle making is an art, with often beautiful results, not to mention the fun time you can have while you're making the candles.
Candle making today belongs thoroughly in the arts and crafts category, which means that you can get all the equipment and waxes you'll need from your local crafts shop.
To make a candle, all you really need to do is get some wax and melt it in a pan (you can even use wax from mass-produced candles if you can not find any plain wax). Once the wax is melted, you can add dye if the wax is not already coloured. Then just put the wick (the string that burns) into a mould, pour in the wax and leave it to set. Again, if you can not get a real candle mould, you can improvise with disposable household objects, such as half a milk carton or some other kind of bottle.
Of course, that basic method is just the beginning. Once you've got that down, you can start mixing different coloured waxes, and using more complicated moulds, and even adding things like glitter and other decoration. You can add small objects like shiny pebbles into the hot wax, or even cover larger objects in wax to make them into big candles. If you need more inspiration, the chances are that the craft shop (or the library) will have books about candle making, with more in-depth 'recipes' that you can either follow directly or incorporate in your own designs.