Turn out a light, extinguish a candle; it goes dark immediately. So what happens to all the photons that were streaming out of it? Okay, so they're travelling at the speed of light(!) and they're out of range of your eyes in less time than your brain can process. But what if you're in a sealed, light-tight chamber? Where do the photons go then? Come to that, where do they come from in the first place? I don't think they exist. Not as a particle with physical presence, do they? Anyway, isn't light supposed to be a wave? So what is a photon?
Kim gave you a good answer.
I have a PhD in elementary particle physics, but its a long time ago and I probably can't add anything relevant here.
Rgarding waves and photons, the concept is 'wave particle duality'. We have the constructs in classical physics of particles, which are point like (or very small) concentrations of matter. Waves are disturbances in a field which carry energy.
At the quantum level, photons can be thought of as both particles and waves, depending on how you observe them.
The canonical example here is the double slit experiment. If you pass waves through a pair of slits, on the other side you get an interference pattern, like ripples on water.
If you take your light-tight room, and arrange a light source which is so faint it emits one photon at a time, then if you allow that photon to aim at a double slit...
there is an interference pattern produced on the other side.
Quantum physics is very spooky (pun on Einsteins 'spooky action at a distance' fully intended) Seriously. It is. What this experiment is saying is that even though there is one particle it somehow 'knows' there are two slits.
In my mind, the mechanism is the probability wave function. Point-like particles do not exist at the quantum level. What we have are little balls of energy, which have wave function associated with them (or maybe they are the wave function). The wave function tells you the probability that the blob of energy is in a particular location.
So that is how the double slits are seen - there is a probability that the wave function goes through the other slit.
Similarly, look at quantum tunneling semiconductor devices. Real, live devices which are used every day depend on the action of electrons 'tunneling' through an energy barrier which in classical terms they cannot. 'Tunneling' here really means whoops - one moment the electron is on one side, the next moment - it is on the other. Or a combination of both (Schrodingers cat grin here). But 'is' is very blurry. Remember point like particles dont really exist - there is a wave function, which can exist across that narrow barrier. So the electron can pop up on the other side.
The real answer is that particles and waves are mathematical constructs which make sense of how the world works. You use the appropriate one depending on the energy levels and the scales at which you are looking.