You can buy wax dye in either solid (blocks, chips or flakes), powdered or liquid form at a craft or candlemaking supply company .  How much to use depends on the amount of wax, type of wax and how dark you want your candle.  Try testing the color by dripping a little bit of the melted wax onto a white piece of paper and letting it dry.  This should give you an idea of the finished color, but remember the actual color will be darker than what appears on the paper.  You can also pour a little bit into a dixie cup and put it in the freezer to dry it fast so you can see the finished color.  

Pre-blended waxes are very opaque and usually require more dye to get a deep color.  Make sure to test burn every new combination of wax/color/scent you use, as sometimes really dark colors may require a larger wick.

Many people believe crayons can also be used to color candles, but I would not recommend this unless the candle is for decoration only and will not be burned.  Crayons contain pigments that will clog the wick and drown out the flame, giving you a poor burning candle.

Fragrance oils (commonly referred to as FO's) for candlemaking can be purchased at many candlemaking supply shops, craft shops and specialty fragrance companies.  It is best to use oils that are specifically made for use in candles, as the quality of the oil will effect the appearance and burning of the candle.  The "potpourri refresher" oils sold commonly in grocery and drug stores are not as well suited for candlemaking and may not blend with the wax.  The oil you use must be pure oil and have no water or alcohol base (you cannot use perfume or cologne).  You will have to experiment with the amount to use depending on how strong you want your candle to smell and the amount of wax you are using.  Some candlemakers measure their oils in percentages and use anywhere from 3 to 10% fragrance per pound of wax, some measure in tablespoons and use from 1 to 3 tablespoons per pound, and some measure in ounces and use from 1/2 oz. to 1.5 oz. per pound.  Standard amount is 1 ounce per pound with most oils.

.5 oz (by weight) =  approx. 3% (or 1 tablespoon by volume)
1 oz (by weight) = approx. 6% (or 2 tablespoons by volume)
1.5 oz (by weight) = approx. 9% (or 3 tablespoons by volume)

Essential oils (commonly referred to as EO's) are all natural oils derived from plants and flowers and are not artificially composed like fragrance oils.   They are sometimes more concentrated and stronger than many fragrance oils, and in other cases they may not be as strong as their synthetic counterparts.  Most EO's are also much more expensive than FO's.  There are many differing opinions as to whether EO's can be used in candles due to their ability to bind with the wax.  Some candlemakers have success with them, but many have said they do not blend and burn well.  I do know that they work well in soy wax though.  I would recommend buying a book on aromatherapy and experimenting lightly on your own.  Many of these oils have medicinal properties and some must be handled very carefully.  EO's have effects on the brain when inhaled, and some cannot be used on the skin unless diluted with a carrier oil.  It is best to read up on the subject before trying it.  And always test burn your candles before you give them as a gift or sell them!