If by "candy" you mean hard candy, not much unless you are suffering from a bout of hypoglycemia. To some people a piece of candy might be the only thing standing between them and a rather nasty death, but to the average human consumer it's similar to sucking down a few teaspoons of sugar.
If you refer to truffles and similar coated candies, there can be a health benefit. If that benefit outweighs the massive sugar load that comes with them is a calculation you'll have to make yourself. Chocolate contains a type of flavanoid called "flavanol". Flavanols have antioxidant qualities as well as an impact on vascular health, lowering blood pressure and improving blood flow to the brain and lungs. There is also strong evidence that flavanols prevent excessive blood clotting and lower cholesterol levels.
These flavanols can not be found in every chocolate. Treated and processed "Hershey" type bars have little to none, unprocessed cocoa has the most. Alkalized and fermented cocoa has lower flavanol levels than roasted cocoa, the latter can mostly be found in high end dark chocolate candy.
So if you need to splurge make it count :)