Nothing goes "up and down" in an EM wave - that is to say there is no actual movement. There are varying electric and magnetic fields which are at right angles (i.e. transverse) to the direction of motion of the wave (the direction that the energy flows). There is 'NO WIGGLE'!
Where does a Photon come from? This is a Brand New Idea (well- only 100 year old haha) and is where Quantum Mechanics comes in. When light energy is emitted from an atom, it comes in specific bursts of energy, called quanta. The quanta of energy can be considered (very loosley and nothing at all like little bullets - never forget that) as being particles. These 'particles' are referred to as photons. When an electron in an atom changes its energy level, the amount of energy it loses is a specific value in the form of one of these particles. You ask where it comes from - well, it doesn't involve the atom actually losing a part of itself. As when you rub something to make it hot, it may not involve losing any actual material but heat still comes off it.
An EM wave consists of large numbers of these particles and, if it ever interacts with an object (another atom, a radio receiver, a rotating molecule etc.) it will always have the same amount of energy, which is directly related to the frequency of the em wave. All photons of a wave of a given frequency are identical and they all have the same energy, zero mass, they take up no room at all (no size) and travel at the speed of light. They will only interact with a system that can accept quanta with specific amount of energy.