Energy is transferred through conduction, convection or radiation. There are many forms of energy, but these are the only three ways in which energy is transferred to another object.
Conduction is the process in which one end of a substance is heated by a direct form of energy, and it travels through to the other end, heating what is inside or touching the substance. Examples include a frying pan on a stove, heating an egg inside it, or putting a lighter to one end of a paperclip and feeling the heat on the other end with one's fingers.
Convection is when a mass motion of fluid or air moves away from the source of heat while carrying the energy with it. The reason heat rises is because once the air is heated, the molecules expand and become less dense, causing them to rise.
Radiation transfers occur when an already heated object lets off its own heat to objects around it. The hotter an object is, the more infrared radiation it gives off. This is why the sun's heat is felt from millions of miles away. Another important note is that radiation does not involve the transfer between particles; therefore, radiation is the only form of energy transfer that occurs in space.