This sort of thing comes up every now and then ... an excerpt from the Houstonian:

But this story is not about toys, or boxes or books; it's about candles. Specifically, the candles that sit atop a birthday cake, which are traditionally blown out by the birthday boy or girl. It is believed that the custom of placing candles on a birthday cake was started by early Greeks who used to place candles on the cake that they offered to Artemis - the Goddess of Moon. Lit candles made their round shape cake glow - similar to the moon.

... I don't believe the ancient Greeks actually had candles (especially what we think of as a candle, with a wick). If someone can point me to evidence that they did, I'd be grateful ...