WARNING! I am a heretic. According to the Physics Majors, the following is “misleading” or “nonsense.”
The electromagnetic waves are the method that the energy is transmitted through space.
http://en.wikipedia.org/wiki/Electromagnetic_waves
Yours is a very profound question. I can tell from your question that you are ready to be let in on the "Dirty Little Secret" of Theoretical Physics: We have NOT yet figured everything out. The universe is governed by whole sets of "Laws" that do NOT agree and are mutually exclusive or illogical (I’ll tack on Schrodinger's Cat in case you are interested in the illogic). This is a great embarrassment. We assume we live in an orderly, rational universe that makes sense. Perhaps when Quantum Mechanics and General Relativity are unified we will have a better answer to your question.
For now:
We need the concept of alternating electromagnetic fields (waves) to explain certain physical phenomena, like the interference pattern in the 2 slit experiment. So we keep that. We must somehow explain how a particle orders of magnitude smaller than the distance between the slits somehow passes through both slits and interferes with itself. Problem, we cannot explain this well using "quanta" (Particles, photons). Wave mechanics gives a simple easy to understand explanation.
We need the concept of quanta (particles, photons) to explain other phenomena, like the Photoelectric Effect. So we keep that too. But, this means we use 2 different, mutually exclusive systems of mechanics to explain electromagnetic radiation.
What to do? We cheat! We say that electromagnetic radiation has a dual nature and choose the system of mechanics that works best for the problem at hand.
Quantum Mechanics gets out of this mess by introducing the Uncertainty Principle, Indeterminacy, and the Copenhagen Interpretation of QM. If we do NOT know which slit the particle went through, then the particle is "smeared out in equal parts" and goes through both slits. It turns into a fog. As long as it is a fog, it can pass through both slits. That is: The particle occupies a volume of space with some probability. QM says that so long as the position is not known, the particle occupies the entire volume. If we learn its position, the fog condenses into that location and the particle goes through one slit. (The problem with this is: Fog does not form interference, waves do. Sooner or later, in those problems where appropriate, you must give up particles and fogs and start cranking through the equations of Wave Mechanics) But, Quantum Mechanists prefer “fog” to, "The particle turns into a wave and goes through which ever slits are open. One slit, no pattern. Two slits, pattern. “ Take your choice of which mental picture you form.
Rule of Thumb that got me through QM: If its’ position is known, it is a particle. If its’ position is unknown, it is a wave. This works because the equations of Wave Mechanics work, if the position is unknown. If you don’t tell anybody, no one will know the mental picture you formed to solve the problem. (This may not always work, but I do not remember a case where it failed.)
It is not uncommon for engineers to accept the reality of phenomena that
are not yet understood, as it is very common for physicists to disbelieve
the reality of phenomena that seem to contradict contemporary beliefs of
physics - H. Bauer