If I understand your question correctly, I believe you are just referring to different consistencies of concentrated cannabis. Oil vaping is, by far, the most popular way to vaporize cannabis concentrates. You find many pen vaporizers/cartridges with CO2 extracted oil in the marketplace. Many of these are also diluted with vegetable or propylene glycol. You can also buy the concentrate in its raw form to vaporize in whatever device you would like.
Wax is just another format of cannabis oil that has been cured at a different temperature. It is virtually identical to "oil" except that it has a waxy consistency. If you were to vaporize a blue dream wax and then a blue dream oil, you would likely not notice a difference between the two.
The only factor that does change things is the solvent used in extraction. Wax is generally made from a hydrocarbon extraction, meaning butane was most likely used. Oil can be made from many extraction techniques, both with and without solvents. Purification techniques can make the harmful residuals left over from the butane extraction negligible, though many still have the opinion that CO2 is a much safer oil to consume. Solventless oils (ice water hash, pressed kief, rosin) are by far the purest oils.