We light a candle during each service as part of a four candle wreath during advent at my presbyterian church, but I had no idea that it's kind of a catholic custom.

"The four weeks prior to Christmas, observed in the Catholic liturgical year, is called the season of Advent (Latin: an approach, Second Coming, appearance, something's coming). On tables in Catholic homes around the world stands a wreath holding four candles, three violet (royalty) and one pink (love). Each week one more candle is lit. By Christmas all four candles are alight. Representing the light to come in the midst of increasing darkness, Advent reflects ancient times when, with no electric light on our planet, darkness was feared. The candles gave the people hope. Celebrating Advent, especially with an Advent wreath, revivifies ancient ceremonies and feasts of light."

More on the lighting of the four candle wreath; The Advent Wreath.