All radiation travels outward from its source in a wave-like pattern.
The term ray is commonly used to describe the rapid, short waves of the upper part of the electromagnetic spectrum: gamma rays, X rays, ultraviolet rays, light rays, and infrared rays.
A ray is the straight line along which the waves travel.
Slower radiation, with long wavelengths, radio waves, is generally referred to as traveling in waves, not rays.
Ray implies speed and high frequency, viewed with the naked eye, very fast waves would blur into a line, whereas the word wave suggests a slower, more obvious oscillating movement.
All in all, however, rays and waves amount to pretty much the same thing: radiation emission.