These look kind of cool, Ice Candles:

Who said Fire and Ice don’t mix? The Mathmos Thaw is a tea light holder that allows you to create your own ice diffuser/surround for the tea light. The diffusion effect pleasantly changes as the ice melts and the tea light burns down. Meanwhile, the melted ice is conveniently collected in the base of the product.

Once the candle is lit, the ice slowly melts away – taking about 3 hours to thaw entirely.

Available at gadgets.dk for 269 DKK (~46 USD).