This tradition is actually thousands of years old. It comes to us from the ancient Greeks, who decorated cakes baked as offerings to their gods with candles. They thought this made the cakes shine like the moon. In the Middle Ages, people would bake small items, like rings, into cakes. It was believed that good luck would come to the person who got the slice with the the surprise in it. Different countries celebrate birthdays in different ways; some of these traditions are described here.
In earlier times, people believed that the smoke from the blown-out candles would carry any prayers or wishes into the skies where the gods lived. This would make it more likely that they would hear (and hopefully answer) the requests. What do you think? Do your birthday wishes usually come true?