I stumbled across these and think they look cool, but I have never tried them. Their website indicates they are "All natural soy wax crayons made from USA grown soybeans and colored with natural mineral powders" and that the shape of them makes them good for kids and used by occupational therapists to help develop fine motor skills.
I almost bought some the primary colors Crayon Rocks to check them out but found out the shipping on them was almost double the cost of the crayons themselves - ouch! They do have an area on their website where they are going to list retailers here but it is currently under construction so for now they are just on my future wish list.
(Photo from http://www.crayonrocks.net/retailers.html)