Also on these boards
Terracotta Pot Candle Heater - Hacked Gadgets – DIY Tech Blog - great forum discussion on how and why they work. You'll be happy you made a couple of these in an emergency. They won't heat your whole house of course, but they'd take the chill out of a bedroom or small room.
Candle Powered Heater - I've been looking a various ways to make these and this guy has by far the best setup. It isn't so much a how-to video. He is just showing what he used to construct his version of the terra cotta pot candle heater.