Three Reasons.

To Never use candles in the bath tub:
1. You light your hair on fire.
2. You light your hair on fire.
3. You light your hair on fire.

I lit my hair on fire the other day in the bath tub. It was more of just a sizzling than a full on flame, but regardless, it made a scary noise, a bad smell and some of my hair had blackened ends. I've since taken to leaving the candles on my counter.