I don't think the wave is related to 3d movement in the case of light... it's not that the photon is going up and down all the time.

I think this explaination is right:

"In electromagnetic wave, it is the electric and magnetic field vector (or amplitude) that is oscillating." (not the position)

from here: http://www.physicsforums.com/archive/index.php/t-186751.html