[The Saucepan Man]

From my Concise Oxford English Dictionary:

will-o'-the-wisp ... a phosphorescent light seen on marshy ground, perhaps resulting from the combustion of gasses.

In English folklore, will-o'-the-wisps were indeed believed to be evil spirits that lured people to their deaths in marshy regions. And it is likely, as Evisse and the dictionary definition above both suggest, that the basis for the legend is lights occurring in marshes as a result of the combustion of marsh gasses.

Undoubtedly Tolkien was aware of this legend and it seems pretty clear that it influenced his description of the Dead Marshes, particularly in the manner of Gollum's warning about the lights:

The tricksy lights. Candles of corpses, yes, yes. Don't you heed them! Don't look! Don't follow them!

And later, referring to how they should make their way through the Marshes:

Very carefully! Or hobbits go down to join the Dead ones and light little candles.