Exploding
The candle usually has a pool of melted wax at quite a high temperature, well beyond the boiling point of water. Like other hydrocarbons it is less dense than water.
Thus, a drop of water will fall into the liquid wax pool, going under the surface. It will be momentarily protected by a skin of cooled wax, but will soon reach boiling point. The wax bubble will hold continue to hold it together as the pressure rises, and as it fails there will be a sudden expansion and steam will throw material around.
A subsidiary effect will be mixing the air and candle material, giving a larger burning area than the equilibrium flame.
