Simple Oil Lamp

All you need is a glass of water with about an inch of cooking oil or vegetable oil on top. 

Poke a wick through anything that floats (thin plastic works) and light the wick.  You can also wrap a piece of wire around the wick and then hot-glue the wire to the bottom of the glass.

It is pretty much odorless, lasts a long time, and the light is good.