I see what you're getting at. The particles come and go, but the energy stays. However, energy is not the only thing that stays. Other conserved quantities include momentum, angular momentum, electric charge, and some nuclear "charges". As our theories get deeper, this list may change a bit. So yes, it does make some sense to think of the world as made of conserved quantities, temporarily bundled into little particle-like packages. Of course, there's still the important question of which types of packages are able to exist.
Mike W.
(published on 06/25/2010)