Wikipedia article about Electromagnetic Radiation says "As an electromagnetic wave, it has both electric and magnetic field components". And this discussion also confirms Light is EM wave.
Since we know that light travels through electromagnetic waves. Does that mean when we hold a Magnet close to the beam of a flashlight, it should interact with the waves and cause funny things to happen ?
No, the magetic field from the magnet will not affect the light. This is called the principle of superposition, and it says the fields themselves don't interact with each other (at least classically. In the quantum theory, light can scatter itself.)
However, the light from the flashlight may interact with magnetic (or electric) material. This is where you can get the behanior BMS speaks of in his answer.
If one is clever, there can indeed be an observable effect on light in the presence of magnetic fields while in a medium. The Faraday effect is one example. In this effect, the plane of polarization (i.e., the direction the electric & magnetic fields point) can actually be rotated.
If you write the magnetic field as a superposition of DC and AC, and take the curl to form Maxwell's equations, the contribution at DC essentially vanishes. Then write the mating Maxwell equation (Faraday's law) to obtain wave propagation in free space unaffected by the presence of the magnet.
The Faraday effect is a problematic example here, since the DC and AC fields are polarized orthogonal to each other. In fact, the Faraday effect occurs in gyroptropic media, which, when polarized, respond differently to AC fields of opposite circular polarization, provided that the polarizing DC field points perpendicular to the plane containing the AC magnetic vectors.
Magnetic resonance provides an interesting example: spins polarized in a DC field, and irradiated with an AC field polarized perpendicular to that DC field, will absorb a photon from one circular polarization or the other, but not both -- depending on the sign of the gyromagnetic ratio.
