Signifance of Candle Lighting After A Death

We Jews light a candle for a dead loved one in their "yartzeit" (anniversary of their death) and on Yom Kippur, in addition of the 7 days of shiva, the intense mourning period following the burial. Usually it's only lit for those loved ones one would say Kaddish for and is an "official" mourner: parents, siblings, spouse, sons and daughters. It's a candle that lights for 26 hours.
This tradition comes from Proverbs 20:27 "The soul of man is the candle of G-d"

Sharon

As a Catholic lighting candles for someone is part of our tradition. It's a way of extending ones prayers and is linked to when candles were used during vigils.

Here is one explanation: http://ohr.edu/ask_db/ask_main.php/235/Q4/ 

The soul, or neshamah, of the departed derives joy from the kindling of lights. This enjoyment brings theneshamah to a state of spiritual expansion. Theneshamah itself is a portion of light drawn from the light of the intellect (sechel). In Proverbs, King Solomon refers to this when he writes, "Man's soul is G-d's candle."

great question & great answers! i learned something new today!

What Sharon said.

Shannon and SpiritedWitch pretty much answered the Jewish perspective on this one. I don't think I can add anything here.