At the risk of getting banned from PF for ever, I'll have a shot.
For a start, E=hf gives the energy for a single photon. THAT changes with frequency, but intensity just changes the number of photons with that energy. Photons with high frequency each have high energy and photons with low frequency each have low energy.
Lame analogy: dropping a brick 1m from a table to the floor. Changing the density and mass of the brick (my analogy for frequency) changes the energy of the brick. Dropping ten bricks gives 10x the energy, but it's still the same energy per brick.
I can get the same amount of energy from a small number of heavy bricks or a larger number of light bricks: I can get more energy from a lot of light bricks than a few heavy bricks, but each individual heavy brick will always have more energy than an individual light brick.
So for light, the same energy could be few high frequency photons, or many low frequency photons.
Lame analogy for frequency affecting the energy of the photon? (And physicists please excuse me here as I have no idea why it really does!)
Waves in the sea rolling onto the shore have energy - big lumps of water are lifted up and down. Each wave coming in can use the energy to move a float up and down, turning a generator and converting the wave energy into electric energy. Each wave of a fixed height can lift the float once and give a certain amount of electric energy. Waves with a higher frequency will do this more times per minute and therefore generate more electric power than waves with a lower frequency.
If that keeps you happy, good. Personally, I don't worry so much about it. But I do have to warn you that there's little in common between mechanical waves and electromagnetic waves, apart from the name and some maths. As far as I know there's nothing in sea waves nor sound waves that corresponds remotely to a photon.
MullaTheMech, you ask a very interesting question (to which I also don't know the answer!
At one time I would have thought this, but having come across 2 photon microscopy, where two infrared photons seem to excite an atom to emit a visible photon, I'm not so sure. It would appear that one electron can absorb two photons simultaneously, so I guess the reverse could be true.
(I haven't had time to go back to the real sources on this and the WikiP article
Two-Photon absorption is tagged as dubious, but if necessary I can get plenty of solid references on 2 photon microscopy.)