I don't want to get too scientific and eco-friendly freak on you, but the burning of candles not only burns oxygen (which gives YOU less oxygen to breathe in), but also releases an abundance of carbon dioxide, which causes global warming. Why does too much carbon dioxide cause global warming? In a nutshell, carbon dioxide is known to insulate heat. Assuming that global warming IS happening, the great amount of CO2 will further cause the increased temperature to stay at its increased state. (Did that make sense?) So basically, it'll make our planet stay hot, like a blanket.
I know that candles smell oh-so-good, and I don't mean to make you feel guilty, but just a quick warning to not burn too many this holiday season!