Number 1 is wrong. We don't use a double negative in English, although you may hear it from uneducated people. You may read it as dialogue in novels and hear it in films where it imitates colloquial American English.The literal meaning of no1 is 'I am going to buy some candles'.
Number 2 is correct and usual. More common in practice would be: 'I am not going to buy any candles'.
Number 3 is correct and has the same meaning as number 2, but it is less common in practice. There is a nuance in no3: this sounds as if the person is determined not to buy candles, whereas no2 is neutral.Suggest edit