From the famous Double-slit experiment, it is clear that electrons do behave as wave as well as particle. When it is detected by geiger counter, "click" sound appears & no matter how greatly the voltage is decreased along the cathode tube, "click" & never "half click" appears. So, electrons always arrive at lumps like bullets. However, unlike bullets the probability of detecting electron at the backstop in front of the slits is not like bullet but like interference of waves like water waves. So, electron does behave as wave.
Waves of what? Waves of probability. The quantity that varies with wave like electric field in electromagnetic wave is $\Psi(x,y,z,t) = \psi(x,y,z)e^{-(iE/\hbar)t}$, a complex entity called wavefunction. The wave associated with the electron is purely mathematical construct. It doesn't describe the space-time variation of any measurable quantity. The wave rather relates to the probabilities of observing the electron at different space locations as a function of time.
Photons do have wavefunction but it is not the classical EM waves. It needs relativistic approach & is too subtle. However, it can be expressed by means of electric & magnetic field i.e. $\psi(x) = \begin{pmatrix} \vec{E} \\ ic\vec{B} \end{pmatrix}$. You can check this paper for more info on this.