I really enjoy making ice candle holders (luminaries) in the winter, and usually use a generic mold. This year it was suggested to me to try making them out of water balloons. The idea is simple: Take a standard balloon, fill with water, put outside to partially freeze. Once an outer shell of ice has formed, rip the balloon off the ice and dump out the remaining water. Add candle.
This turns out to be rather tricky. I have done a few experiments so far and can not yet consistently get these to work, but if you're willing to risk a few failures, the final result is quite nice. So here are my directions along with comments on what I've learned by doing this:
1) Inflate the balloon, then deflate it most (but not all) of the way, THEN add water. The idea is to get a bubble of air (maybe an inch or so across, more if your candle will be bigger than a softball) inside the balloon. I'm not entirely certain on the physics, but in my testing I have found that having that air bubble keeps the ice beneath it slightly thinner. This means that when you take off the balloon, you will have a good place to make a hole through the sphere of ice.
2) Wipe off (dry) balloons before putting outside to freeze (you don't want them to freeze to the ground)
3) Check on the balloons periodically while freezing. You don't want them to freeze all the way through!
4) You can use a key or other sharp object to tear the balloon off; it's pretty easy.
5) Very carefully break into the ice by gently tapping the flat surface where the air bubble had been. This should be the thinnest ice, and break easier than other sections. If you can't break this part, the ice has frozen too far, but at least you have a pretty ice ball. If you can break this part, break a large enough circle that you can set a candle into it. Don't forget to empty out the water!
EDIT: If you fill the balloons all the way up and do not leave a space, you may end up with this: