I'll take that one question at a time.
Sound consists of waves of compression (or, in some cases, little sideways displacements) in some material. That's all it is, so without some material arround, there's just no way for sound to exist.
Light is a wave of electrical and magnetic fields. At least so far as we understand the world now, electrical and magnetic fields are one of the basic ingredients of the universe. They aren't made of something else, so you don't need something else around to have electromagnetic waves, like light.
Maybe someday we'll understand the universe at a deeper level, and say that electromagnetic fields are really the behavior of something else (maybe the strings that people talk about). If that ever happens, the answer would change to saying something like "even empty space has the (whatever) which the electromagnetic fields are waves in."
(published on 10/22/2007)