Candles were bloody expensive. Consider that in the 14th-15th C. a cow was worth about 8 shillings, or about 96 silver pennies (basically a gp). From that cow, you could probably get 300-400lbs of meat (you can get more from a modern steer, but 600 years of selective breeding have made cows bigger), so that's about a farthing (one-quarter of a silver penny) for a pound of beef (not counting butchery, etc., as people often did that themselves back then).
Compare that to tallow candles at about 2d/lb, or wax candles at about 6d/lb.
Keep in mind, that in this period, wages for unskilled labour were in the range of 1d/day.
Making a wildly inappropriate comparison to modern-day minimum wages, that's the equivalent of paying something like $250 for a pound of candles.
So you can see why many people using rushlights (reed stems soaked in fat or pitch) or splinters (splinters soaked in fat or pitch), both of which were more or less free (if you were willing to pick the rushes and gather the pitch yourself).
But back to dungeoneering.
Candles are a not really a great source of light, probably comparable to a period oil lamp, but you can get a candle lantern for them. This helps with dazzling, and with the candle going out from the wind of walking around (seriously, that's enough to put out a candle, or at least make it pour scalding wax on your hand - candles suck).
Even a big double-wick candle isn't throwing enough light for you to see OK-ish more than about 10-15', with dim shadows twice that. Reading requires a candle to be within a foot or so.
But at least you're not blinding your friends with your torch, or worrying about spilling the oil out of your lamp.
EDIT: Forgot to include burn times. A one-pound candle would burn for about 70 hours. Not too shabby.