Sound is created by a vibrating object. Sound travels as a wave through a medium, for example, a liquid (such as water), a solid (such as the seafloor), or a gas (such as air). Therefore, sound does not exist in the vacuum of space.
A sound wave is an example of a compressional or longitudinal wave. Below is an animation in which a hand applies pressure to the end of a simulated slinky to create a longitudinal wave. The particles in a longitudinal wave move parallel to the direction in which the wave is traveling.