Electromagnetic waves (EM waves) are transverse waves. The particles or fields that make up the wave vibrate at right angles to the direction the wave travels. This is the same pattern you see in a wave on a rope that is shaken up and down.
Unlike sound, EM waves do not need a material to travel through. They can pass through a vacuum, which is why light and other radiation from the Sun can cross space to reach the Earth.
All EM waves travel at the same speed in a vacuum, about 3.0 × 108 m/s. This is true for radio waves, visible light and gamma rays alike. Their speed in air is almost exactly the same. The waves differ in wavelength and frequency, but not in speed.