("how can light have no mass? ... but you you can feel heat on your skin from light")
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It is true that light possesses no mass because it is the only subatomic particle that is both its own matter and antimatter (i.e., electron and positron) annihilation; thus, pure energy. The photon has a way tiny rest mass (rest mass - mass detected by an observer in the same inertial frame of reference). However, the photon is never in an inertial frame of reference. Light is invariant in all frames of reference. That is why light moves away from any reference frame at a constant speed of 3.0 x 10^8 m / sec. (186,242 miles / second). The photon is a massless spin-1 boson with no charge and carries both energy and momentum, but no mass. The photon is massless because that was defined by the initial conditions set-down at the time of the big bang origin of the Universe. The photon, boson, is very nearly the opposite of all matter particles, fermions, which do carry mass and charge, with spin-1/2 and move at less than the speed of light. The characteristics of all known subatomic particles was determined by the initial conditions at the beginning of the Universe. Thus, the physics governing the Universe is an intrinsic part of the space-time continuum itself.
You feel heat from Sun light or radiating from a light bulb, because both sources radiate not only visible light (light you can see), but they also radiate some in the Infrared and ultraviolet spectrum as well. The heat you feel is mainly due to ultraviolet rays.
See: Photons as light quanta
http://www.pa.msu.edu/courses/1997spring/PHY232/lectures/quantum/index.html
See: Electromagnetic waves
http://www.science.uwaterloo.ca/~cchieh/cact/c120/emwave.html
Best regards