When a stone is thrown into a pond, the waves are produced and move over the surface of the water. This can be observed directly. It appears that the water itself moves with the waves. But this is not so. When a little boy throws stones behind his toy ship in water, hoping that it will come back to the shore, the waves move under the craft which just bobs up and down in one place. It means that water does not move away but just becomes up and down. But, however when big waves are produced by throwing big stones, there is a little movement of the water but not for any long distance. This fact we all experience.
Sound is also a wave motion. Sound waves are bound to be propagated in the air, in water and in solids. But what does vibrate in sound waves? The answer is the particles of the medium through which the sound is propagated. These are molecules of air, water or solids. If there is no air, water or any matter, the sound waves disappear. There is no sound in a void. Future astronauts will probably observe eruptions of volcanoes on distant airless planets in complete silence. Only the ground shaking under their feet will be felt. On the moon, spacecraft will start up in absolute silence. There will be no roar of rocket engines as we know it leaves on earth. On the moon, we can notice jets of dazzling fire eject from the bottom of the spacecraft in complete silence.
The radio waves and light of distant stars arriving at the earth had started their trip millions and billions of years ago. Their pathways are mostly through enormous and nearly empty interstellar spaces.
Electromagnetic waves are produced by the movement of electric charges. No intermediate medium is needed for the propagation of electromagnetic waves. In a vacuum one can only see but can not hear. This is the fundamental difference between electromagnetic waves and mechanical waves including sound waves.