Adam Rifkin stashed this in Plants!
Slice around the orange but only skin deep. Then gently remove the orange peel, making sure that you keep it intact. You'll want to keep the stem like piece (pith?) in the middle intact.
You should end up with a bowl with a wick coming from the center. Pour some sort of vegetable oil into the bowl, making sure to coat the wick and filling the bowl until it's about a cm from the top of the wick. Light the wick and you've got a candle that will burn for hours.
This is really, really cool!
After is above. Enjoy!