radio wave
The shorter the wavelength of a wave, the higher its energy.
em wave is generated by photons which emitter the energy in the form of light
The higher the frequency of a wave, the higher its energy.
Usually with electromagnetic waves, the frequency and energy is opposite to the wavelength. An EM wave such as radiowaves have huge wavelengths, slow frequencies and small amounts of energy. An EM wave such as X-rays have tiny wavelengths, fast frequencies and large amounts of energy.
To increase the intensity, if that's what you mean, more energy is required. That would also mean that the electromagnetic wave carries more energy.
E=hv Where: E is energy h is plank's constant and v is frequency.
gamma rays
The ones we call "gamma rays" do. Their frequency is so high that in the time of one cycle, light travels only a distance similar to the size of an atom.
electromagnetic wave is not a sound wave
The energy in the wave is partly transmitted, partly absorbed, and partly reflected.
Gamma radiation is an extremely high frequency EM wave and is probably the common lightwave with the highest energy. Since energy is proportional to frequency, the highest energy wave would be that with the highest frequency.