He had weights rotate a paddle wheel in water and observed that the transfer of kinetic energy heated the water. Heat ends up being the energy contained in atoms as they vibrate back and forth within an object. If you touch an object whose atoms are moving fast back and forth, then the collisions will exert a force, you feel this force as hot. Click to see a movie of the atoms of quartz as a function of temperature. Sound has energy involved because air is being displaced.
Speakers work by oscillating the air back and forth.
We see some of this during radioactivity. An atom, such as uranium, spontaneously disintegrates into smaller pieces, lighter atoms. However, the sum of the mass of the lighter atoms is less than the mass of the original atom. The difference is given off as energy. The energy associated with mass is enormous.