The particles associated with the electromagnetic waves, described by Maxwell's equations, are the photons. Photons are massless gauge bosons, the so called "force-particles" of QED (quantum electrodynamics).
While sound or the waves in water are just fluctuations (or differences) in the densities of the medium (air, solid material, water, ...), the photons are actual particles, i.e. excitations of a quantum field. So the "medium" where photons propagate is just space-time which is still there, even in most abandoned places in the universe.
The analogies you mentioned are still not that bad. Since we cannot visualize the propagation of electromagnetic waves, we have to come up with something we can, which is unsurprisingly another form of a wave, e.g. water or strings.
As PotonicBoom already mentioned, the photon field exists everywhere in space-time. However, only the excitation of the ground state (the vacuum state) is what we mean by the particle called photon.
Since electromagnetic energy is carried by photons and moves in forms of waves, does it mean that a single photon when propagating through space doesn't follow the straight path but instead always moves up and down, up and down like a wave.
The term photon belongs to the realm of quantum mechanics. The photon is a fundamental elementary particle in the standard model of particle physics. Electromagnetic energy is defined well in classical electrodynamics and it does move this energy as a wave in time and space.
A single elementary particle propagating through space is mathematically modeled by a wavefunction which is a solution of a quantum mechanical equation. This is a complex number function, it has a sinusoidal form but the only physically measurable effect is the probability of getting a "photon" signal at a specific (x,y,z,t). It is the probability that has a sinusoidal dependence in space time, not the photon, as can be seen in the answer here. The energy of the photon is h*nu, where nu is the frequency of the classical wave which will emerge from a large number of such energy photons.
So it is not possible to talk of a trajectory of a single photon at the microscopic quantum level. It is only macroscopically, when the atomic source is known, and the interaction footprint of the photon is detected on a screen or a camera that a straight line can be drawn which in effect is the optical ray of the classical em wave.
If so another question arises the speed of propagation of light in vacuum is fixed meaning that it will always take the same amount of time for it to travel from point A to point B, but if a photon always moves up and down it will also mean that it travels longer distance than the distance between A and B and so it ill travel faster than light propagates, is it even possible,
No, it is not possible in vacuum. The photon does not propagate as you imagine, and can only be described by its energy=h*nu and its spin direction. It always travels at c.
In the complicated quantized environment of a medium with an index of refraction the way the photon wavefunctions are related to the emergent classical wave, shows that the individual photon paths, which at the microscopic level are always in vacuum and travel with velocity c, can not be an optical ray. An individual photon impinging on a transparent medium will interact by elastic scatterings with the atoms of the lattice and certainly its path cannot be one straight line. In coherence with the zillions of photons in a classical em wave it is better to discuss the classical paths and let quantum mechanics take care of the individual interactions. A true analysis quantum mechanically needs quantum field theory and is unnecessarily complicated.
Best Answer
Electromagnetic waves include visible light, radio waves, X-rays, and so on. What distinguishes these different bands of light is their frequency (or wavelength). But what they all have in common is that they travel at the same speed in vacuum.
The reason for qualifying 'in vacuum' is because EM waves of different frequencies often propagate at different speeds through material.
The speed of a wave $c$, its wavelength $\lambda$ and frequency $f$ are all related according to $c=\lambda f$. So if $c$ is the same for all EM waves, then if you (say) double the frequency of a wave, its wavelength will halve.