What we see all the different forms of matter around is just a form of energy. Why can't this energy be the most fundamental particle. Given dust can turn into a star and then emit all sorts of radiation loosing energy over a period of time either collapse to worst case of black hole or burst as a supernova. The dust and gas would again collapse again at some point of time and start the cycle all over again. Why can't energy be then the fundamental particle?
Students have a tendancy to think of the energy as a thing in it's own right - possibly as a result of watching too many episodes of Star Trek. As various people have commented, energy is a property of a system not an object in it's own right.
You can see this very easily. Take two objects of mass M coming towards each other at speed $v$. What is the kinetic energy of the system? If you're in the centre of mass frame you see two objects both moving at speed $v$, so the total kinetic energy is $mv^2$. But suppose you're sitting on one of the objects. Now you see your object has zero KE because it's stationary while the other object is moving at $2v$, so the total KE is $2mv^2$, which is different from the previous result.
So energy is frame dependant unlike for example the number of particles, which is frame independant (we'll gloss over the Unruh effect here!).