Paraffin is a hydrocarbon (that is, it's made from oil), therefore when you burn a paraffin candle you are scattering the hydrocarbons in the air which you are breathing, contributing to indoor air pollution. A paraffin jar candle burning in a home for as little as 60 hours will generate so much soot the room will have to be repainted!
Conversely, beeswax actually produces negative ions in the air, such as occur after a thunderstorm. This is healthy for the human body. Compare the flame of a paraffin candle and a pure beeswax as they burn. Often the flames of synthetic candles are very jumpy and unsteady. But note how steady and calming the flame of a beeswax candle is.