What you think as a particle, the electron for example, is a quantum mechanical entity that behaves as a classical billiard ball in some experiments but collectively displays behaviors that cannot be explained by classical mechanics, one of them is to display a wave nature, i.e. interference phenomena, when studied appropriately.
I will repeat some paragraphs from a previous answer.
In the quantum mechanical framework, single events/instances can be described by classical trajectories and physics. It is when the statistics are accumulated that the wave behavior appears. The statistical distribution of such scatterings will be a probability distribution given by the quantum mechanical wave equations, and will display the wave nature of the underlying framework. The waves in quantum mechanics are probability waves . Many instances must be accumulated in a distribution to manifest the wave nature . In the double slit experiment with single electrons a single electron does not express any wave nature. One can calculate its trajectory classically after the fact. One cannot predict the trajectory unless the probability wave nature of the underlying framework is taken into account.
So in the double slit experiment the individual electron appears as a dot on the screen but its trajectory cannot be predicted by classical mechanics, by knowing the momenta and geometries.
To summarize for individual measurements the wave nature may not appear at all or cannot be predictive of a trajectory. What the wave nature does is predict a statistical distribution for the particles under consideration.
In the double slit experiment with individual electrons the accumulation of single "particle" hits displays an interference pattern, and this is the particle/wave duality.
you ask:
But doesn't that just mean that this particle is a particle the whole time, but you can't know it's location without observing it and the wave just presents a range of possible locations where it might be if you do observe it?
In fact you do not know what it is until you observe it, and if it is one event, you can only pull your beard and wonder at its trajectory as a single particle. By accumulating events you observe the wave nature in the distribution.
This insight allowed to describe mathematically the microcosm with the quantum mechanical differential equations, which are wave equations, and a system of postulates, the main one " the square of the solution is the probability distribution". The description has been validated by innumerable experiments.
