I make my own black wax. You can melt the pitch and wax together, or just knead them. That's messier, but less chance of burning yourself.
The advantage of black wax is that it holds the stitches very well by being slightly sticky. At the end of a stitch row I go back 2 stitches and have never had any pull out. Some have claimed black wax gives a more waterproof stitch than plain beeswax, but I have no opinion on that.
As for the color, a lump of the stuff is indeed black, but the thread will be only slightly darkened, sort of beige.
I've bought smaller quantities of unwaxed when I first started stitching, but you had to hunt for them. They may not be offered anymore. I didn't see any at Blue Heron Mercantile the last time I visited their website.
Waxed is fine to use for smaller projects, but you should keep a lump of wax around to rewax while you stitch, because it does wear off as you haul the thread through the holes.
Have fun stitching!