Simple glass votives are wrapped in black lace trim (this type of lace can be found in the ribbon section and sold by the yard at most craft and fabric stores. I purchased mine at Jo-Ann's). I'm pleased with the way these turned out. They have a bit of a Gothic feel to them.
Pick up a yard or two of black lace trim, cut off a strip that covers the perimeter of your votive candle. Using a needle and black thread, overlap the edges and make small stitches to tack in place.