I have a tendency to write overly-long youtube comments. This one was on a video of someone showing off a high powered laser popping balloons...
SomeYouTubeGuy: I suggest revisiting your high school physics course. Light is in fact energy. A laser is simply an amplification of light, and so, by deduction, a laser is energy.
Me: "Light is not energy; light has energy. Much like mass or velocity or charge, energy is something you have, not something you are."
SomeYouTubeGuy: "Let me ask you this then: what is light? Come back when you figured that out."
Me: I don't have to "figure out" what light is. The study of optics is ancient, and the more subtle quantum mechanical stuff is recent, but still well documented (along those lines, I've linked some introductory wiki pages at the bottom of this reply).
At it's most basic, light can be thought of as the means by which electromagnetic energy is conveyed via radiation within a certain wavelength (lower wavelengths of electromagnetic radiation are considered heat, and higher is usually just called 'radiation' because people in the past were bad at naming things).
Electromagnetic radiation can also be conveyed by other means (like conduction) but even that relies on some sort of energy conveying particle. This particle is conveying a quantum packet of energy, but you should attempt not to conceptualize it as a physical thing (in the way that 'packet' and 'particle' might lead you to believe). Really, electromagnetic radiation is conveyed simultaneously as a finite particle and as a probabilistic wave that has a certain frequency. Depending on how you measure these quanta, it may appear either as a particle (for instance, you can capture one photon) or as a wave (you can have an individual photon create interference patterns with itself so long as you don't measure it before it has a chance to interfere with itself).
A photon (I'll be referring to it by its particle name rather than as a wave for simplicity), has no mass, and therefore travels at c, but it does have energy, and is therefore affected by gravity. The equation for the energy content of a photon is E=hc/f (where h is plank's constant, c is the speed of light, and f is the wavelength of the photon). Because of this, high energy photons (UV, x-rays, etc.) have more energy than low frequency photons (IR, radio, etc.).
Saying a photon is energy is almost exactly the same as saying a lump of iron is mass (remember, energy and mass are literally the same thing: E=mc^2). Even if you did manage to make something "out of energy" (whatever that might mean) the universe does not allow energy to exist by itself, it must be contained/conveyed in/by some fundamental particle(s).
Even more technically speaking, it might be wrong to think of a photon as conveying energy. It's actually conveying interaction with the electroweak force and as such, it would be considered an exchange particle, force carrier, or gauge boson; depending on the context of what we're talking about.
Sorry, you asked a simple (if sassy) question, and here I am, three pages in, talking about bosons. I hope this helps... somehow.
http://en.wikipedia.org/wiki/Light
http://en.wikipedia.org/wiki/Wave%E2%80%93particle_duality
http://en.wikipedia.org/wiki/Photon
http://en.wikipedia.org/wiki/Electromagnetic_radiation
http://en.wikipedia.org/wiki/Mass%E2%80%93energy_equivalence
http://en.wikipedia.org/wiki/Quantum
http://en.wikipedia.org/wiki/Exchange_particle
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