These color flame tea light candles are available at Parties 4 Kids. Apparently they’re smokeless and non-toxic. The downside is that they only last an hour.
If you want something that lasts a little longer, I found these color changing lamps at Faerie Flames. They come in red, green, orange, pink and lilac. They last about four hours and they can be refilled.
Finally, if you want to make your own colored candles, check out this how to make colored fire video. It tells you exactly which chemicals to use in order to get a yellow, green, blue, purple or red flame.