The wick section would burn out after a prescribed time leaving a little nub of wire core to melt through the thin layer of wax on top of the next segment. You'd hold your lighter up to the wire which would transfer the heat into the wax and melt it away allowing the next section to light.
Not as neat as the CO2 bubbles but probably a little easier to do.
Self extinguishing candle III is MechEs which he should post as it's pretty clever (read it after posting mine):
//The first would have two wick columns, with each one being made up of multiple sections of ~1hr burn time, with ~30 minutes between sections. The two columns would be far enough apart that a flame on one couldn't light the other. You light one, and it melts the candle far enough to expose the other column before extinguishing, and you switch back and forth.//-- doctorremulac3, Jun 17 2014 Self-Extinguishing Candle II and III Self-Extinguishing_20Candle_20IIUses CO2 bubbles to blow the candle out or alternating wick arrangement [doctorremulac3, Jun 17 2014] I love it-- Voice, Jun 17 2014 random, halfbakery