There are plenty of waxes with different features, so the choice is entirely up to you and this post doesn't pretend to be an encyclopedia of candle-making :-)
I don't like to 'label' waxes as natural or non-natural, because also paraffin derives from something, the petroleum, that actually exists in nature!
I prefer to refer to them as vegetal-, animal- and mineral-derived waxes.
Among plant-derived ones you can find soy wax, colza wax and palm wax (and more).
Beeswax is clearly from animal sources.
And paraffin, as above-mentioned, is made of hydrocarbons, (mixtures of alkanes usually in a homologous series of chain lengths). It is refined from petroleum by vacuum distillation.
'Petroleum (Wikipedia definition) (L. petroleum, from early 15c. "petroleum, rock oil" (mid-14c. in Anglo-French), from Medieval Latin petroleum, from Latin: petra: "rock" + oleum: "oil") is a naturally occurring, yellow-to-black liquid found in geological formations beneath the Earth's surface, which is commonly refined into various types of fuels.'
It's worth mentioning that you can also use gel for candle making (gel is a mixture of polymer and mineral oil). I don't like gel very much, and I tend to use it as little as I can, but for some projects it is absolutely cool!
They can be made of cotton or wood, they can be primed or not , they can be flat, round etc.
The two most important things (at least for me) are the choice of the size and, for the cotton ones, that they are LEAD-FREE!