This is a thing I've thought a fair bit about in a caving context. It used to be the case when everybody still used carbide lamps that your source of light also doubled as a meaningful source of heat. It was standard practice to carry a trash bag (often in the void space in suspension helmets) which, if you were cold (at risk of hypothermia) you could simply take out, rip a whole in the corner and pull it over your head (head sticking through the whole, so you can breathe, but it traps heat around your body), and then put your carbide lamp also under the trash bag, and your body quickly becomes warm. A trash bag big enough to crouch inside were ideal (50 gallon drum liners seemed to be a common recommendation).

LEDs and batteries have totally surpassed carbide lamps from a lighting perspective, but the secondary/incidental free hypothermia-mitigation property is still an overall property worth satisfying somehow. Candles, and some way to light them, are a reasonable thing to carry.

Matches aren't great: they break, they're unreliable when wet (even fancy "waterproof" ones seem to be), need a suitable striking surface (even fancy "strike-anywhere" ones).

For normal BIC-style lighters, you also need to be concerned about accidental button depression leading to fuel loss, meaning you need to pay attention to how you're storing it. You can also find little O-rings of the right size that can fit on just under the button and make it harder to get accidentally press. You can also find little rubber covers that fit over just the "business end" of the lighter, to protect its mechanism and make it harder to accidentally depress / leak fuel in storage.

A plasma lighter would need to be at least as durable and reliable as a BIC. However, bonus points if it works on 18650 cells, as those are almost always available (and charged!) due to their service in headlamps as well.

A reliable plasma lighter driven by easily-accessible 18650 cell would then seem rather appealing, as, at least in a cave context, one would be virtually guaranteed to have power for it, and the marginal weight of carrying it should be thought of as not including the battery because you're probably wanting to carry extra 18650 cells anyway, at which point the lighter could be thought of as just a fancy 18650 carrying case, whose battery-contents could still be put to other use as needed.

Some additional points in favor of normal lighters over plasma lighters:
1. Can be used to melt low-melting-point materials, such as to fuse the ends of most ropes to prevent fraying.
2. If I have an unrelated source of fuel, such as a camping stove for cooking / boiling water / personal heat in a pinch: If the stove doesn't already have some kind of piezo-igniter built-in, even just the spark from an otherwise-dead (out of fuel) BIC-style lighter can be enough to ignite the other fuel source.
3. Of limited utility, but something I have actually experienced: Lighters that require oxygen to function properly are useful as indicators of low-oxygen environments. Granted, if you're concerned about bad air, low-oxygen isn't the only thing you need to worry about, and if that's a concern you probably want better ways of monitoring it, but where not expected, it's a better than nothing. On the other hand, anecdotally, it may be counterproductive, as people seem more likely to attribute a BIC-style lighter appearing to malfunction to be due to lighter malfunction than a true low-oxygen hazard, even when the latter is the actual reason, especially when judgement and reasoning may already be impaired due to hypoxia. which is it's own thing.

Then, as far as what to light (and burn for heat): Beeswax seems to have the best energy density (in terms of J/kg) of readily-available materials in its category, is fairly cheap, and readily available in candle form. (If anyone is aware of a higher energy-density material which could be made into a candle with similar safety, stability, etc. properties, however, I'd like to know!)