Hilchos Chanukkah / Kindling the lights (q) – 24

1. All types of oil are acceptable for the Chanukkah lights [as long as it can sustain a flame], but the ideal oil for the mitzvah is olive oil. One who does not have olive oil should choose an oil that burns steadily and brightly (ShulchanandMishnah Berurah 673).

2. It is permissible to kindle wax candles, but it is preferable and considered a greater mitzvah to kindle oil, since the miracle occurred with oil (ibid.).