Figs and women's bodies—need we say more? Check out the "Images" section for a discussion of the similarities between the two. Calling a poem "First Fig," then, could be a way to introduce a discussion of the poet's own bodily awareness.
My candle (1)
And just when we thought we were talking about the female body, Millay begins the poem with a pretty striking phallic reference. Candles, of course, look quite a bit like phalluses. So why call the candle "my candle"? Does this suggest that the speaker thinks of herself in phallic terms? And how does this connect to the fig of the title? Does she have both figs and phalluses? Big questions, folks. And there are no clear answers. But the tension is sure an interesting one.
My candle burns at both ends; (1)
And the complications keep coming. Just when we thought that the speaker was holding out a phallic symbol, the speaker's declaration that the candle burns at both ends confuses the symbol itself. A candle burning at one end could be thought of as a penis aroused, but a candle burning at both ends? That gets a bit more enigmatic. One interpretation could be that the speaker is describing her fire (in the words of The Doors) being lit by men and women.