Good question. When you find out let me know.
First approximation, its immaterial. I mean that literally. Its charges. Its all charges. Which gets to forces. Not things. Not really. Forces between things. Which in turn when broken down further are all forces. No kidding. That's literally the meaning of E=mc2. Energy, a force, equals mass, a thing. Times the speed of light squared. So you can say its a force or a charge, or you can say its a thing or a medium. It all depends on your point of view. On which side of the equals sign you want to take.
When you look at what holds things together, its all charges. At the atomic level there's the strong nuclear force that holds the neutrons and protons of the nucleus together. I'm sure you've always wondered why if like charges repel then what holds all those protons together? They should fly apart. And they would. Except for the strong nuclear force. Holds the nucleus together.
The strong nuclear force attenuates rapidly with distance so that it only applies within the nucleus. Beyond that, from atoms and molecules to cells and all the way up to people and wires its electrons and electromagnetic forces.
Just sitting there in your chair, what is it stops you melting right on through it? Ultimately it comes down to the electrons in your body and clothing being repelled by the electrons in the chair.
Okay, so obviously the same thing happens when you pull a bow across a string on a violin. That sets a whole slew of electrons to vibrating and away we go! Electrons in the air repel other electrons in a compression wave that reaches a microphone, which is a membrane that moves in analog with the air, and being attached to a transducer generates a signal in a wire.
Up until now the "signal" which really is just another word for information has been propagating out in all directions. Now in the wire its a bit more constrained. But maybe not so constrained as you might think. The signal (information) is not all in the wire. Remember, its a force. Quite a lot of the signal is in fields that extend out beyond the wire in all directions.
For the most part though its electrons in the wire pushing against neighboring electrons in the wire in a wave function that is a direct analog to the microphone and the air and the bow and the string that started it all. Like when you see people doing "the wave" at a game, the wave moves but the people stay put, more or less. Same with the electrons. More or less.
That's your signal. And that's your medium. Its all the same thing. Which isn't even a thing, but energy. Or mass. Take your pick.
