Wax play is a form of sensual play often associated with BDSM, involving the use of hot, melted wax and the bare skin of a willing participant.
Before I go more into it, let me say that I've never actually tried wax play myself. Input from people who have, either to correct me wherever I'm wrong, or to give a more personal point of view, would be appreciated. I have played with hot wax in non-erotic ways before, however (and quite often - chances are, if there's a lighted candle around, I'll end up doing something with it), I do find the idea of a sensual session of wax play quite erotic, and as such I've read a bit about it.
Wax play can range from light use as a "side-dish", so to speak, to whatever other erotic activities you're up to, to the creation of artwork covering the naked form of your partner, and depending on the wax used, can feel just warm or burning hot.
As might not be obvious at once, different waxes burn at different temperatures, typically ranging from around 50 Celsius and up, depending on what's in it. Softer candles are usually cooler. Some claim that coloured candles burn at higher temperatures, but other studies done did not show this to be true. At any rate, I'd reccomend that you test out the temperature of the wax you're planning to use before actually starting out. Having to end the fun because of burns isn't high on most peoples wishlists.
Still, it's smart to be prepared for it. Some spots are way more sensitive to heat than others, and wax may pool over some areas, transferring a lot of heat on them. One drop of wax might not give you a burn, but a pool of the same wax may very well. You'd do well to have a cool, wet towel as well as some ice around to quickly cool down areas that get too hot. As an added bonus, the ice can be used to compliment the hot wax.
There are other safety concerns as well. If you drip the candle from any distance, the chance of splatter increases, so be aware of this, especially if the eyes might be hit. And you are playing with fire, so be sure to keep the candles away from easily combustible material. A couple more concerns are not as much ones of safety as ones of convenience. Wax is pretty difficult to remove from fabric and a lot of other materials, so it would be smart to cover the area where you're about to play with wax with something. A layer of mineral oil on the body areas where the wax will be applied is also a good idea, as it eases the removal. Be aware of the other use of hot wax on human bodies, specifically in the area of hair removal. Unless you want a complimentary waxing, avoid areas with a lot of hair.
I have been told that heavily scented candles can be "a little icky"1. Also, with many kinds of wax, and especially scented ones, there's the additional concern of allergies. If you develop a rash after a session of wax play, this may well be the case. Try unscented, white wax, and see what the reaction is. Some people get allergic reactions from the heat as well, however.
For those interested, but who find that normal candles are too hot, there are solutions. Sex shops often stock wax melting at lower temperatures, I'm told.
As an alternative to candles, pots filled with molten wax may be used.
1Thanks to Junkill for that little piece of info