The title is pretty self-explanatory. Do all the photons have the same energy?
No, the energy of a photon is connected to its frequency $\nu$ via $$ E = h\nu $$ where $h$ is the Planck constant. So a blue photon is more energetic than a red one, for example.
ASCII in his comment to Wojciech Morawiec answer asked
how does a single photon have a frequency
To understand this one has to recognize that the emission of photons takes place from electrons as well as from protons. Both subatomic particles have the intrinsic properties of an own magnetic field and an own electric field. Unfortunately the inner structure of this fields is unknown but it can be stated that both fields around this particles coexist.
Both particles could receive photons. By this they get excited in relation to the surrounding particles and shortly "try" to fall back in the common state, emitting by this photons. To get a macroscopic and measurable effect of the emission of photons the invention of the radio waves was helpful. In a antenna rod electrons get accelerated forth- and backwards periodically and during this excitations they emit more or less synchronously photons. It was found out that the common wave of this photons has a electric field component parallel to the rod and a common magnetic field perpendicular to the rod. In the near field it looks like this:
E is the electric field, B is the magnetic. Following with our finger the k-axis watch the amplitudes of the two field components. Imaginary moving your finger with the speed of light you would simulate a moving photon. It's like a bubble expanding to the left and right and than up and down and so on. Photons of different frequencies have different lengths between every full oscillation. The different "bubbles" are of different diameter dependent from their frequency and by this of different energy.
Does all the photons have the same energy?