Personally, I'd say 'I haven't got a candle' but, of those two, I'd say 'I don't have a candle'.

"I don't have a candle" is the option you want to use.

I don't have a candle.

I agree with everyone's answers below. I'd use "I don’t have a candle." However, I might use the second option, "I have no candle," if someone kept asking me for a candle and I didn't have one. I would use it for emphasis. "I have no..." is often used for that purpose. I don't mean that we only use it for emphasis, but it's just how I express things myself as a native speaker of American English.

Modern grammar books, such as Practical English Usage by Swan (3rd ed. 1995), give "have not" as older British usage and "don't have" as modern British and American usage (see Swan, section 237 : have (4), subsection 3 : questions and negatives, page 207). Google n-grams shows that "I haven't/I have no" was dominant in print for the last two hundred years, but that currently "I don't" has equal usage. I am North American. "I don't have" is nearly universal. I have had British friends and coworkers who used "I have no."