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Into the sand, which it pushes around, causing erosion.
Also sound, you hear the splash.
Also some of it bounces back, this is the riptide that will carry you out to sea.
Yes but after? I get that it makes sound, pushes the sand and sends energy back to the open sea, by the energy that goes into the sand, where does it go afterward?
It dissipates into the environment through friction and other resistance forces. Each grain of sand is pressed against the others, the water, rock, or even the air. Those resistances are converted to heat and other forms of energy, which spread out from each particle.
Who says it has to go anywhere else? Why can't the energy just exist in the form of eroded sand and heat? If you use a huge amount of force to bend an iron girder (with apologies to Bender) where does that energy go? The iron girder doesn't inevitably spring back and give the energy back. It's just bent. But it also gets hot. That's where the energy goes.
Turning large grains of sand into smaller grains of sand uses energy, which becomes heat in the process. If you put the heat back in, you can eventually melt the sand back together, but this is not a lossless, perfectly reversible process, see: "entropy".
The remaining energy is converted into heat.
Are you thinking about Newton's laws like F=MA and wondering if the wave is moving the earth on some scale? You might have already answered yourself because for every action there's the equal and opposite reaction. The energy going into the sand is roughly equal in magnitude to the energy that got sent back into the sea. The waves and sand erosion you see are the manifestations of the energy bouncing around in this system as it finds homeostasis.
You're thinking of momentum, not energy. Momentum finds homeostasis, energy is dissipated as heat.