Soy candles are, in general, better than standard candles. They burn slower and with less smoke, and the glow of the soy is lovely. Beeswax is nice too, but pricey. For a while I thought I'd buy soy votives, for the glow and the longer burn time.
I was all set to do that when I found out that I could pour them myself, in whatever container I liked. I'm not sure what it is about this wedding, but I've had some insane toddler-esque whims. (Nooooo! I do it myself!)
I scouted around for the best prices on wicks and soy wax (eBay and eBay, but comparison shop) before I realized that this was a useless way to spend my time. Regular candles burn long enough, and no one would ever notice or appreciate the hours I spent melting and pouring a few hundred candles. I've ended up buying the 12-packs from craft stores as they're on sale, which is far more economical and far less crazy-making.
Still, I think it would be a fun project, and I might do it on a smaller scale. Bridesmaids' gifts or candles for home or refilling pretty containers instead of buying expensive boutique candles.