The Tabernacle Candle is required when the host is present and can be any color. A lot of churches use red, most probably as a reminder of the blood that was shed for you and I from His body.
Likewise, the candles in front of statues can be any color. Blue is traditionally associated with Our Lady, hence the blue candle in front of her statue.
As to why we do them, I found this:
According to A Handbook of Catholic Sacramentals, by Ann Ball (Our Sunday Visitor Books), the practice of lighting candles in order to obtain some favor probably has its origins in the custom of burning lights at the tombs of the martyrs in the catacombs. The lights burned as a sign of solidarity with Christians still on earth. Because the lights continually burned as a silent vigil, they became known as vigil lights.
Vigil Lights (from the Latin vigilia, which means “waiting” or “watching”) are traditionally accompanied by prayers of attention or waiting. Another common type of candle offering is the votive light. Such an offering is indicative of seeking some favor from the Lord or the saint before which the votive is placed.
Lighting a candle is a way of extending one’s prayer and showing solidarity with the person on whose behalf the prayer is offered.
Source: “St. Anthony Messenger” Septmber 2003, Page 26
Hope that helps, and may God bless you on your journey home.