Alright, this is something that has been bugging me for a long time. I'll start off by listing off the basic facts that this is based on, so I can make sure that my understanding is right.

1. Magnus left Mundus, creating a hole which is the sun.

2. Magicka flows from Aetherius to Mundus through the sun.

3. The sun is the primary source of light, just like in our world.

4. Based on 1-3, light equals magicka.

If all of that is true, then how do candles or other forms of independent lighting work? Are candles basically raw magicka surrounded by wax? If so, then how are they not impossibly expensive? Are they imitation magicka?

Not necessarily true. The Sun emits deadly radiation, yet light bulbs do not.

Think of Magicka from Magnus as that radiation that simple fire does not give off.

Also, the light that can be used to illuminate a room or the type that actively harms vampires can actually be separable from one another via magic. The Alyeids categorized light itself, believing that starlight was the most divine of all, so my basic assumption is that light by itself does not always equal to the stuff that stems from Aetherius.

Why are candles still burning in tombs that haven't been open in several millennia?

"Magic."

Well said kinsman

I'm actually trying to think of an instance where it wasn't (at the very least) touched up on in the different games. You have the Dragur inexplicably maintaining the place with a somehow inexhaustible supply of materials, the Alyeid's Welkynd and Varla stones seem to give off light naturally, and the Dwemer automatons try to keep things going as best they can.

Not sure about Morrowind, but its been ages since I last played it...well, less then Oblivion. I really should replay that game, its the only one that I never went back to (or modded) after I beat it.

From 'Ayleid Inscriptions and their Translations':

Av molag anyammis, av latta magicka.
"From fire, life; from light, magic."

Also worth noting from 'Magic from the Sky', the Varla and Welkynd stones were made from meteoric glass, 'fallen from Aetherius', so not natural light. Seems the Ayleids differentiated between light from the heavens and light from the world they lived in.

Real candles burn stored energy extracted from sunlight. Wax actually stores that energy. It's the same in Tamriel.