Scented candles release their fragrance when lit - depending on the fragrance in the candle, you can get different aromatherapeutic effects from different fragrances.
Alternatively, you can use an essential oil diffuser with a candle. The heat of the diffuser heats the oil and water mixture in a cup above the flame. As the water evaporates it carries the oil into the air to be breathed in as an aromatherapy treatment.
There are also plug in versions of the same idea, which eliminates the need for a candle. This is ideal for people who use aromatherapy to help them sleep since having a lit candle while asleep is dangerous. It is also great for hospital and dorm rooms, where open flames are not allowed.