Classical waves through empty space is the easiest.
There is actually energy at every place where there is an electric and/or magnetic field. The amount of energy per unit volume is $\epsilon_0E^2/2$ for energy stored in the electric field and $B^2/2\mu_0$ for energy stored in the magnetic field.
So when the amplitude is larger both the electric and the magnetic fields are larger and so there is more energy stored in every bit of volume that has energy which is everywhere the fields aren't zero, which is almost everywhere.
As the wave translates across space in the direction it travels the regions of higher energy slide into a new location, much like a baseball player sliding in a base. This transports the energy from where it used to be into a new location, the location where the field is now large (instead of the location where the field used to be large).
What about all this talk about frequency? That has nothing to do with the energy stored in a given volume.
Quantum mechanically energy is transfered from the collective field to an object in discrete multiples of $\hbar\omega.$ Since a larger amplitude means more energy that means more multiples of $\hbar\omega$ can be delivered. And if the frequency is higher then each little bit of $\hbar\omega$ packs more punch. For quantum mechanics you also have to take into account the quantum nature of the thing getting the energy.
Quantum mechanically it is harder to say anything, even energy, is located somewhere. You can only talk about the dynamics of interactions. It is more complicated by the fact that there isn't really a classical electric or magnetic field in quantum mechanics.