I love a lot of them, they're flipping fabulous! (But Mrs Galt HATES them and limits my use while she's home).
Which to go for depends on the season. Spring/summer I like light, airy scents like linen or cucumber melon. There are some water/ocean/rain type things that are good if you find the right ones (but since they are generic names there are a lot of bad ones too). Fall/winter more seasonal stuff like pumpkin or apple pie. I even got a campfire smell once as a gift. Not sure if I'd recommend it, but it wasn't too bad. Very subtle. Cinnamon is good year-round. I had a rose one once (got it at TJ Max) and it was great but I haven't been able to find a replacement. Also bamboo is good if you can find a light one but they tend to be on the heavy side (which means they aren't as relaxing). You never know until you actually get home and light up.
There are a lot of weird scents now. Some smell good when you sniff the candle at the shop but don't smell anything like that when you burn. And some (like Bath & Body Works) are SUPER strong. I have to put them in a different part of the house because the smell is just overpowering if I'm in the same room. Sometimes it's so bad it actually hurts my eyes. That's probably not a good sign.
But even better than candles is nag champi incense sticks. For some reason I LOVE that smell. It's odd because the nag champa scented oil isn't nearly as good although it smells the same. I don't know what it is about the sticks... Maybe the smokiness?