The shamash – the "attendant" candle that is used to kindle the other lights – sits a bit higher or lower than the other candles, on the ninth branch of the menorah. Many Jews have a tradition to use a beeswax candle for the shamash.
Though the shamash's primary function has been served once the candles have been lit, we don't extinguish the shamash. Instead, we set it in its place adjacent to the other lights, ready to "serve" in case a candle blows out. Another reason why we leave the shamash lit is because it is forbidden to use the Chanukah lights for any practical reason. This way, if a candle is needed, the shamash is available for use, preserving the sanctity of the mitzvah lights.