"More energy" can mean two different things. In the case of sound, only one of those meanings--the amplitude of the wave--is relevant: soft sounds have lower amplitude and loud sounds have higher amplitude. The frequency of the wave, as jessaustin pointed out, is independent of how soft or loud it is, and for sound, there isn't any useful sense in which any frequency carries "more energy" than any other frequency, given that the amplitudes are the same.
With regard to light, however, there is a second possible meaning for "more energy": not a higher amplitude of the classical wave, but more energy contained in a single quantum of the light (i.e., a single photon). Light of higher frequency (toward the blue/ultraviolet end of the spectrum) has more energy per quantum; light of lower frequency (toward the red/infrared/microwave end of the spectrum) has less. This sense of "more energy" is still independent of wave amplitude: wave amplitude corresponds to number of photons (more precisely, the number of photons is proportional to the amplitude squared). So you can have faint light (few photons) of high frequency (more energy per photon); or you can have bright light (lots of photons) of low frequency (less energy per photon). The total energy contained in the light depends on both of these factors; but the total energy in the light is not the crucial factor involved (see below).
It turns out that, when you are looking at the possible effects of radiation on the body, the energy per photon is the most important factor, because that is what determines what kind of interactions the radiation can have with the molecules that make up your body. UV, X-rays, and gamma rays have enough energy per photon to break apart the chemical bonds that hold together things like proteins in your cells; that's what makes them potentially cancer-causing. Microwaves, OTOH, don't have enough energy per photon to break chemical bonds; all they can do is make the molecules, like proteins, vibrate more rapidly, which just means heating them up.
With regard to light, however, there is a second possible meaning for "more energy": not a higher amplitude of the classical wave, but more energy contained in a single quantum of the light (i.e., a single photon). Light of higher frequency (toward the blue/ultraviolet end of the spectrum) has more energy per quantum; light of lower frequency (toward the red/infrared/microwave end of the spectrum) has less. This sense of "more energy" is still independent of wave amplitude: wave amplitude corresponds to number of photons (more precisely, the number of photons is proportional to the amplitude squared). So you can have faint light (few photons) of high frequency (more energy per photon); or you can have bright light (lots of photons) of low frequency (less energy per photon). The total energy contained in the light depends on both of these factors; but the total energy in the light is not the crucial factor involved (see below).
It turns out that, when you are looking at the possible effects of radiation on the body, the energy per photon is the most important factor, because that is what determines what kind of interactions the radiation can have with the molecules that make up your body. UV, X-rays, and gamma rays have enough energy per photon to break apart the chemical bonds that hold together things like proteins in your cells; that's what makes them potentially cancer-causing. Microwaves, OTOH, don't have enough energy per photon to break chemical bonds; all they can do is make the molecules, like proteins, vibrate more rapidly, which just means heating them up.