Once your candle is burned to the bottom and there is either no, or just a little bit of wax left, dig the rest of it out and pour hot water with soap in the jar. Scrub the sides and the bottom until there is no more wax left. Now you can take off the labels. If the outside of the jar is still sticky, you can use some nail polish remover and a spoon to erase the rest.
Some people also recommend putting the jar in the freezer for a little while which causes the wax to contract and then it will just easily pop right out with a knife.