This is called tunnelling. In order to avoid it, we recommend you burn the candle, on each use (but especially on first use) for long enough to allow the whole top layer of wax to melt evenly (usually 3 hours).
To fix a candle that has tunnelling, place the candle in a hurricane style vase and light. The vase will ensure the heat encases the candle fully to help heat the excess wax. Leave the candle to burn a full top layer of wax, to reset the candle and prevent further tunnelling.