This may seem like a strange question to be asking, as we know we use the shamash (the center candle) to light all of the other candles. Each night the shamash is lit, and then on the first night of the festival we light one candle, and then on each subsequent night we add another candle so that the number of candles lit by the shamash corresponds to the day of the festival. The other element of the tradition, is that while we add candles from right to left, we light the candles from left to right, so that each night the newest candle is lit first.
However, this was not always a given. In the time of the Talmud there was a debate between the Schools of Hillel and Shammai (two schools who were always arguing with each other about the correct way to practice the mitzot and be Jewish). The School of Shammai said that on the first day of Hanukah you should actually light all eight candles, and that on each subsequent day one less candle should be lit. This would mean that the number of candles lit each day would correspond to the number of bulls that were offered in the Temple for the festival, and it would also mean that the candles would correspond to the number of days left of the festival.
In contrast the School of Hillel said that on the first day of Hanukah you should light one candle and then add a candle every night, so that eight candles would only be lit on the final night. The reason given for Hillel’s position is that we should only increase in matters of holiness, so it would be inappropriate to have less light each night.
Ultimately the Rabbis decided to follow the teachings of the School of Hillel, and that is how we still light the Menorah today. The nice thing about the way that we light the Hanukah candles is that every day we add a candle and so every night the light of the Menorah grows. As it gets darker each night outside, in our homes it gets lighter and brighter as the light of the candles grows.
As a bonus, I just want to deal with one other question of what we call the candelabra we light.
There are two names which are generally used: Menorah and Hanukiah. The original Menorah was a seven branched candelabra in the Tabernacle in the wilderness, which was eventually moved to the Temple in Jerusalem (you can see an image of this on the crest of the State of Israel). Today when we speak of a Menorah we are usually speaking of the Hanukah variety, a nine branched candelabra, of the kind you probably have in your homes. In Israel to distinguish between the seven branched Menorah and the nine branched Hanukah Menorah, the word Hanukiah was introduced as an alternative for the nine branched variety.