Burning candle and found that it burns with a flame giving out heat and light. Imagine burning a piece of coal.  Coal too burns in air producing carbon dioxide, heat and light. But it does not produce any flame.

The chemical process in which a substance reacts with oxygen to give off heat is called combustion. Substances that undergo combustion are called combustible substances. It may be a solid, liquid or gas. Along with heat, some produce flame or glow. The substances which vaporize during burning give flames. For example combustion of kerosene oil produces flame. On the other hand certain substances like coal do not vaporize and hence doesn’t produce a flame. A side effect of the chemical reactions (that takes place while a substance is burning) is a lot of heat. The chemical reactions in a fire generate a lot of new heat that sustains the fire. Many fuels like gasoline burn in one step. Heat vaporizes gasoline and it all burns as a volatile gas. There is no char. A candle  on the other hand slowly vaporizes. As they heat up, the rising carbon atoms emit light. This "heat produces light" effect is called incandescence. This is what causes the visible flame. Flame color varies depending on what is burnt and how hot it is.