During the holiday of Hanukah, Jews light up candles in a Hanukiya; the Hanukiya is a set of candle sticks attached to each other, lined up in a straight line and perfectly leveled.
There are 9 'branches' in the Hannukiya. One is clearly separate from the other eight while the other eight are all leveled as well. The separate branch is for the 'Shamash', the service candle with which we light up the candles.
We light up the Hanukiya for the purpose of advertising the miracle of Hanukah only. One must not use the candles for any other purpose - including for having a light in a dark room. For that reason we light up the Shamash - as service, in case we wish to use the light or use a candle for a purpose other then advertising the Hanukah miracle.
We light up one additional candle every day. One candle on the first day of the holiday, two on the second etc. We start by putting the first candle on the right side of the Hanukiya. Each day we add a candle to the left of the previous candles. Every day we light up the candles by lighting up the new candle first, the one of yesterday second etc.
The Jewish sages debated in regards to the way we should light up the Hanukiya: eight candles on the first day, seven on the second etc., or the way we actually do it: one on the first day, two on the second etc. It was decided to light up the candles the way we do (start with one and add a candle every day) since this way we add more light every day and it projects optimism and growth.
All types of candles are kosher and can be used as Hanukah candles. Yet, Olive Oil is considered extra special. The subject of the miracle was the extra virgin olive oil that was being used in the Temple so the custom is to use olive oil to light up the Hanukiya.