I got this idea from the DIY Vietnam Lantern post in the Arfcom Survival Forum. It cost nothing and the only tool I used was the blade on my Swiss Army knife.
You need two soda cans. Cut away most of one side of the first can. Next, cut the bottom off of a second can about 3/8" above where the wall and the base meet. Put the cut off bottom inside the first can and place a tea light in the center recess.
And a second shot with the lights out:
The silver inside of the soda can maximizes the limited amount of light you get from a candle or tea light and shields it from drafts. Note that the can does get hot so be careful if you pick it up. I wouldn't walk around with this, since if you trip you'll be dropping a lit candle and could start a fire. But for emergency use in a power outage, or placed on the dashboard of a snowbound car, it would be handy. (Make sure you crack a window if you're using it in a car.)