If you believe in M-theory all of matter boils down to the interaction of the 
different vibrational modes of multidimentional objects called branes 
including the 1 dimensional strings in a 10 dimensional space time.

However, by asking what things are ultimately made of, the question asked 
here goes beyond physics to a subject of metaphysics called Ontology.  As a 
philosophy you may think what you like or take your pick of past philosophers 
but there are definitely implications from modern physics.  Physics 
definitely seems to imply that everything is ultimately composed of energy.  
You say that it cannot just be energy and you are right in this sense.  
Energy is never just energy.  For in saying that everything is energy 
highlights the sameness in everything and ignores the differences.  The 
differences are in the fact that different things are different forms of 
energy.  There is energy of motion, energy of mass, energy of light, energy 
of gravity, etc...    For me this sounds a lot like the ontology of Aristotle 
who said that all things are matter and form.  To modernized his idea we 
should substitute the word "energy" for "matter".

In the physics concept of energy is everything that Aristotle that described 
as the substance of being.  In fact it surpasses Aristotles' idea in that his 
description of matter seemed a bit inert and static, while energy is the not 
only the substance of things but also of actions.  I do not think that 
Aristotle even dreamed that motion for example was a thing also composed of 
this universal substance which he described.

As for Aristotles idea of form, well physics takes Aristotles rather obscure 
idea and makes it something much more precise and meaningful.  The trend of 
physics over the last several centurys has been to describe phenomena with 
increasingly geometric ideas.  Einstein's General theory of relativity was a 
major signpost on that path, describing the force of gravity purely in terms 
of the curvature of a 4 dimensional space-time.  Kaluza and Klein showed that 
this could be expanded to include the electrical and magnetic forces in a 5 
dimensional space-time.  String theories described the increasing zoo of 
particles as vibrational modes of very small strings in a ten dimensional 
space-time.  Finally M-theory united all the competing string theories into 
an even more geometric theory of multi-dimensional objects called branes of 
which the one dimensional strings are only one example.   I envision that 
this will ultimately lead to a purely geometric theory like General 
relativity where all the forces and particles are described by the curvature 
and vibrations of a 10 dimentional (or there about) space-time.

Thus physics gives Aristotle's idea of form a definite meaning in multi-
dimensional geometry.  But rather than separate isolated forms for different 
objects we see that in physics, all objects in the universe are merely 
portions of a single geometrical form.