Well, that is a big question bit here is a quick and small answer.
First of all, electricity can be static and magnetism can also be static. A changing magnetic field will induce a changing electric field and vice-versa—the two are linked. These changing fields form electromagnetic waves. Electromagnetic waves differ from mechanical waves in that they do not require a medium to propagate. This means that electromagnetic waves can travel not only through air and solid materials, but also through the vacuum of space.
Light is made of discrete packets of energy called photons. They carry momentum, have no mass, and travel at the speed of light. All light has both particle-like and wave-like properties.