If I don't have parchment paper, can I substitute wax paper for baking recipes. What is the difference between the two?
As @MeltedPez mentioned -- melting. (coincindence in the name? I'm not sure)
Waxed paper is basically a candle in sheet form -- it'll melt, it'll burn, and it'll make your food taste like you're eating crayons. It'll start to melt near 350F / 175C. Parchment should go up to 500F / 260C ... it might get a little crispy or char at the edges, but won't spontaneously combust.
If you had to use something other than parchment, I'd go with 'release foil'.
The biggest difference is that wax paper melts and smokes in the oven, specifically when the wax paper is exposed.
If you cover it completely with batter, for example, you should be okay.