Tea light sizes are very annoying! I have 4 different ones at the moment and in the past used a 38mm drill (I supplied the tealights in the holder), but have now moved to using a 1 5/8" (41.3mm) drill to make sure other types will fit. I would use a 40mm Forstner, but don't have one. I might buy one in future, but I think the 1 5/8" drill is ok.
Tea lights also come in different heights to make the situation worse - as you woulnd't want to use a 10mm tealight in a 20mm deep hole :-(
I have 38mm, 38.7mm and 39mm diameter tealights, in heights of 20mm, 18mm, 14mm and 10mm. The largest one (39mm x 20mm) is a high quality coloured and scented "Prices" version and the others are all cheaper ones (Ikea (I think), market stalls, various local shops, etc). The high quality ones burn for a lot longer than the cheaper ones, BTW - but they cost a lot more as well!