Well St Vincent De Paul sounds pretty catholic, so people might be lighting candles for loved ones in heaven or intercession from the saints or something.
I used to burn candles a lot more often for the ambiance, but since Silvio the psycho kitty joined the household, I'm much more leery of open flames (he jumps up on tables and shelves, and I have this nightmare vision of a cat running about with his tail on fire).
There is something lovely about a good book and a glass of cognac by candlelight on a cold winter's night. I also don't have a fireplace, so maybe a candle is the poor woman's fireplace.