There's a site for BeansWax candles: http://www.beanswax.com/
They're made from soybean wax. I have NOT verified if they're vegan, but you could email them. They don't appear to be exceptionally cheap, but they're about the same price as, say, Yankee candles or other major brands.
I'm sure if you did a search for soy candles you'd probably find a lot of sites that make/sell them - and hopefully they'd be able to give you more info on whether they're vegan.
Another alternative is to buy some plant-based essential oils (like lavender, etc.) and get an oil warmer (they even make electric ones) - you put a bit of oil in a tiny saucer that sits on the top of it, and underneath is either a tealight candle or a small light bulb, which heats the oil and spreads the fragrance. Incense also might be another good alternative - many incense websites provide all sorts of details about what's in their incense. And there's quite an array of scents to choose from.