Photon
When a charged particle loses energy by interacting with anything it creates a tiny ripple in the electromagnetic field called a photon. The photon is the exchange particle for the electromagnetic force.
So electromagnetic radiation is made out of: the billions of tiny ripples created (mainly) by electrons around atoms changing their orbits and causing a little 'twang' in the field around them.
The wave created will spread out... as all waves do; but the higher its frequency - the more energetic the event that created it - the further the energy can travel in one direction without spreading out very much; visible light has a high enough frequency that most of the time it looks to us like it is just travelling in a straight line... whereas radiowaves spread widely. See diffraction