There is not really a 'best' wax overall, as all waxes have their own strengths and weaknesses, but there are some waxes that will work better than others in a particular application.
Waxes are generally split into two categories: Pillar/melt waxes and Container waxes and can be either vegetable based or mineral wax based.
Pillar blends cool very hard and are used for making free-standing candles that do not require a container or wax tarts/melts.
Container waxes - as the name suggests - are softer waxes designed for use in a container of some form; be it a metal tin, glass jar, coconut shell or anything else you care to fill :)
In terms of mineral vs. vegetable wax, this is a debate that is only really had amongst candle makers as the majority of customers are apathetic to the wax used. Customers generally want a candle that looks and smells nice; it is us candle makers that tend to get hung up on the exact details of the wax, either as a USP or because we think consumers make buying decisions based on wax.
As a general rule, paraffin (mineral) waxes make stronger scented candles. This is why most luxury brands still use paraffin wax, or blends that contain a lot of paraffin wax. They have not missed a 'natural' gap in the market; they choose to use paraffin wax because it makes great smelling candles. Whilst paraffin wax is often associated with smoke and soot, a well made paraffin candle should not produce much soot at all.
Vegetable waxes, such as our EcoSystem blend, or soy, rapeseed and coconut waxes are relatively new compared to paraffin waxes, but are growing in popularity as they have good Eco credentials which can offer some marketing benefit. They also create melt-pools that cover the entire surface of the candle quite quickly, whereas paraffin candles tend to burn down with a more concave profile (with hang-up).
Whilst predominantly used by skincare/spa brands, vegetable waxes are also used by other brand owners wishing to create a more 'natural' candle. These waxes are very soft and have a beautiful texture, but generally generate less scent throw than paraffin equivalents. They can also be more difficult to work with as the waxes are much denser and do not transfer heat too well.
In our contract candle manufacturing business, we rarely use 100% paraffin or 100% vegetable blends. The majority of our candles are made using 70-80% paraffin wax and 20-30% vegetable wax. This tends to give the candle the sensory benefits of paraffin. Another popular blend is the opposite; i.e. 70-80% vegetable and 20-30% paraffin. This results in a more vegetable-like finish, but the added paraffin reduces the triglyceride content sufficiently to prevent polymorphism (frosting and pitting).
In summary, many waxes are suitable as candle bases and each have their own strengths and weaknesses. Paraffin wax is the most widely used and is easy to work with. Vegetable waxes offer a more natural alternative, but are slightly harder to work with. Both can produce beautiful clean-burning candles if correctly made. If you are serious about candle making and have the time and money, it is worth experimenting with wax blending. There is extremely limited support in this area, as no candle maker will ever disclose the make-up of their wax blends, so trial and error tend to be the only way.