Different wavelengths of light cause different colors and can result in "invisible shades" of electromagnetic radiation such as ultraviolet and infrared radiation.  The following pictures compare animations of the classical view of light for four different wavelengths (225 and 300 nm are ultraviolet radiation; 450 nm is blue and 650 nm is red).
 

225 nm 
300 nm 
450 nm 
650 nm 

In the classical picture, if the amplitude is the same, higher frequency (shorter wavelengths) correspond to radiation that is more energetic (more energy per time).

Quantum theory of light also predicts that higher frequency light will be more energetic; this is built into the equation E = hν. Here are pictures comparing 225 and 450 nm light (quantum view):
 
 
225 nm 
450 nm 
Click here for page discussing intensity of light from a classical or quantum point of view.