A lava lamp contains a few different components, including:
Wax:
The main component of the "lava" blobs, paraffin wax is a petroleum-based wax that melts at low temperatures and doesn't mix with water. Carbon tetrachloride is sometimes added to increase the density of the wax.
Liquid:
The wax floats in a liquid that's usually water or mineral oil. The liquid may be colored with dyes or sparkles.
Light bulb:
An incandescent or halogen lamp heats the bottom of the lamp, causing the wax to expand and float.
Metal coil:
A coil at the bottom of the lamp helps to accelerate the heat and melt the wax faster.