I'm sure most of you have heard of electromagnetic waves, wave-particle duality, etc. What I'm wondering is, how does everyone conceptualize waves when they think about them? Do you think of them in the sense of ripples though water (only through space instead)? In the case of electromagnetic waves, where are the photons in all of this? I would just like to hear your thoughts, as I have just begun to really study quantum physics and waves is one thing I have trouble conceptualizing.

I don't think it's something that you can really conceptualize, since it's something that humans never have meaningful interaction with in our daily lives. I would just focus on understanding the mathematics of it, rather than trying to visualize what a wave-function would look like. The math should give you more than enough to keep you busy.

It's a probability wave. Classic waves are different, being actually comprised of some substance.

I was just reading about the wave-particle duality displayed by emitted photons, electrons, and even atoms in the classic "two-slit experimaent,"and I can sympathize with your need for palatable illustration. However, as Nasor has already mentioned, whatever these odd transmutations that occur at such a minuscule level really are, they're quite outside the everday human experience and probably not understandable in those terms.

Your question have sense. I had asked the same too. If we have a wave we had to have a medium. For EM waves however modern physics states that a medium is not needed. I think that this understanding for EM-waves as standing alone and not needing any medium will change sooner or later. I think that EM waves also have medium, and this medium is the field from photons that conduct EM field. In other words EM field is the medium for EM waves. This also means that EM field propangate through space in the form of waves.
A proof for this : at very low temperatures photon-intermediators becomes exteremely scarce, thus EM interaction is more weak and effects like super-conductivity take place.
Besides Maxuel equations come from a differential wave equation which is nothing more then a diffusion equation.

I tend to think of EM as waves just like ripples in water only the medium is the EM which can actually exist in a vacuum. Just a way of visualising if I need to.
Quantum probability waves are more difficult but I imagine they are waves which do not require a medium at all and are just built into the fabric of the universe. Like the way gravity 'curves' space-time and affects motion of matter, I believe these waves influence the position of sub-atomic particles in accordance to Schroedingers probability wave function equation (i.e. most of the particles are 'drawn' towards areas with a high probability).