A flame is in the gas state. It is very hot (obviously).
Fire is a very rapid chemical reaction that involves combining a substance with oxygen.
Even though the reaction releases heat, it needs some heat to get started.
Then the reaction produces enough heat to keep itself going. This is why its hard to start a fire, but once it gets going it will keep going.
In a candle, the heat will melt the wax and draw it up the wick, where it is so hot that the wax is vaporized. The molecules in the flame are in the gas phase (vaporized wax). These molecules are so hot that they vibrate and rotate like crazy. Vibrating and rotating molecules emit light. This is the bottom blue part of the flame.
The top half of the flame is often yellow. This is different than the
blue part. The yellow part of the flame is air mixed with little particles of hot soot. Soot is particles of partially burned stuff.
The hot soot will glow, just like a light-bulb filament.
The flame is shaped by gravity, the movement of the burning gases, and the movement of air around the flame. What shape do you think a flame would take in zero-gravity?

check out http://zeta.lerc.nasa.gov/cqa/video4.html

I think this is a very interesting question, because fire is still mysterious to people and they often think that fire is some exotic state of matter but...
Fire, or perhaps better "a flame" is a very hot gas. It is composed primarily of water vapor, oxygen, nitrogen and carbon dioxide.
When an organic material (wax, wood, alcohol) burns, the bonds between carbon and hydrogen in the material are broken. The released atoms combine with the oxygen and form carbon dioxide (CO₂ ) and water (H₂O). This is called oxidation and the reaction gives off heat. The gas can get very hot (over 1000F). The gas rises and more air (nitrogen and oxygen) are drawn in at the base of the flame. The oxygen allows the oxidation to continue.

Some of the energy in this heat is absorbed by the electrons in the gas. The electrons then radiate this energy as light, which is what you see. Very hot gases will radiate blue light (at the base of a candle). As the gas cools down the color changes to yellow, then orange,then red. When the radiation falls into the infra red you don't see a color anymore but you can feel it as heat. This radiation now comes from the vibration of the molecules.