And one of those things where you put a tealight candle in the bottom and the top part, water and a few drops of oil. The water heats up and diffuses the oil.

Example:
http://www.newdirectionsaromatics.com/ceramic-oil-diffuser-w-tea-light-holder-black-p-2146.html

I have two of these from garage sales.

that really does smell like a fresh Christmas tree. The others, especially the "food" scented ones, make me gag. Vanilla is the worst. I can't even stay in a store that sells Yankee Candles for more than a few minutes without either sneezing or considering the possibility of throwing up.

I guess it's whatever you like. There are some scented oils that aren't too bad, you can just put them in a little ring around a light bulb (old style) or other heat source. They aren't as strong and sickly sweet as some candles and don't present the fire hazard of an actual candle. Some incense is OK too, although that can also be kind of strong sometimes.

I love some of my Yankee Candles, but hate to burn them. I'm going on 6 or 7 years with the Christmas Cookie one on the warmer. Just make sure it's something in a glass container.

I have used (and like) all sorts of things. For fragrance, I think the best thing is the scented wax (I have Yankee Candles brand) that you use with the little trays with a tea candle under them. I also use oil trays that fit on light bulbs. And I reuse the Our Own Candle Company jars and the excess wax to make my own candles. They already come with that wick holder to make it easy to hang a wick. I have not had to buy more candles for years. You can get extra wax (if you need it, and I never seem to although the color or my candles is iffy) and wicks and additional scent for candles at a craft store. I reuse the metal pieces for the bottom of the wick. I remelt the wax in a jar set in a pan of water on the stove. It is kinda messy, but I don't have to do it often and I do it all at one time for several candles at once. I have a couple burning right now with cinnamon scent, but the color is a weird purple/blue because of the colors of the wax I had left over.

last longer then when I burn them.

I've been buying soy candles lately just because they put less pollutants in the air.
I shop at stores like Ross and TJ Maxx and they always have great smelling candles in their clearance sections.
They may be old, or the tin is bent or the top is missing - I don't care! I just buy them for the smell
Kohls is another place to find candles on clearance.