They are both made of waves. They travel at the same speed. They have the same energy. They can both travel in empty space. Red light is emitted by hot objects, blue light by cold ones.
Red light has a longer wavelength than blue light.
Red light travels slower than blue light. The only difference is the direction in which the waves oscillate. Their wavelengths and frequencies are different. Light waves travel faster than radio waves. Radio waves are electromagnetic, light waves are not.