Macbeth is full of imagery of light and darkness. From the first, the cover of night is invoked whenever anything terrible is going to happen. Lady Macbeth, for example, asks "thick night" to come with the "smoke of hell," so her knife might not see the wound it makes in the peacefully sleeping King (1.5.3). The literal darkness Lady Macbeth calls for seems to correspond to the evil or "dark" act she plans to commit.
When Lady Macbeth calls for the murderous spirits to prevent "heaven" from "peep[ing] through the blanket of the dark to cry 'Hold, Hold!'" she implies that light (here associated with God, heaven, and goodness) offers protection from evil and is the only thing that could stop her from murdering Duncan (1.5.3). So, it's no surprise to us that, when Lady Macbeth descends into madness, she insists on always having a candle or, "light" about her (5.1.4) as if the light might protect her against the evil forces she herself summonsed in Act I, scene v. It turns out, though, that such candlelight doesn't do her much good – she's too far gone and ultimately kills herself.
Interestingly enough, Macbeth responds to the news of Lady Macbeth's suicide by proclaiming "out, out brief candle" (5.5.3). By now, the candle's flame has become a metaphor for her short life and sudden death. Similarly, Banquo's torchlight (the one that illuminates him just enough so his murderers can see what they're doing) is also snuffed out the moment he's killed (3.3.5). Both incidents recall an event from the evening King Duncan is murdered – Lennox reports that the fire in his chimney was mysteriously "blown" out (2.3.3).