A flame is more than meets the eye.
In fact the part of the flame that enters your eye is light.
The part of the flame that you feel is heat.
The candle is solid.
If you look real close at the candle below the bright spot of the flame you will see solid wax turning to liquid wax and liquid wax turning to gas wax. These changes happen differently depending on how close the wax is to the blue hot spot of the flame.
As the wax changes to a gas it moves into a stream or flow of air that travels up from the top of the candle into the flame stream where it becomes the flame and later exits mostly at the top.
What it is in the flame, or becomes the flame, the wax gas mixes with air and changes from candle gas and oxygen in the air to carbon dioxide or some other oxide, some water vapor, and some left over candle soot or scent.
So a candle flame or other flame is the place in a stream of air where all the chemical, heat, and light action is really happening.
Inspired as an answer to Alan Alda's Challenge.