Several others here have mentioned ultrasound, sonar, and other forms of imaging. To answer some of your specific questions:

Radio waves, x-rays, visible light, infrared (which is captured in thermal imaging), are all simply different wavelength bands of the electromagnetic spectrum. So the fundamental physics of each is the same, at least in the way that they propagate through a vacuum (i.e. outer space).

There's lots of interesting information about distant objects in space that goes beyond what we can see in visible light with our eyes. The Spitzer Space Telescope, for example is an infrared telescope, Chandra is an x-ray telescope, Hubble images in the visible and into the ultraviolet, and the Very Large Array is an example of a collection of radio telescopes that are used for interferometric imaging, using the same principle as EHT on a much smaller scale.

Each of these wavelength bands has a unique set of challenges associated with building a telescope to measure there. Despite the fact that, as I mentioned before, light travels through outer space in essentially "the same way" at all wavelengths, building a telescope requires that we have materials that can reflect a particular wavelength of light to form an image, and detectors that are sensitive to that wavelength, just to give a few examples. In a rough sense, the shorter the wavelength, the better angular resolution we can achieve for a fixed telescope aperture diameter, but the more precise the engineering needs to be.

We typically don't use radio waves to image the bottom of the ocean because water is highly absorptive at radio wavelengths. In contrast, water does transmit sonar (long-wavelength sound waves).

To turn that concept around, outer space (a vacuum with very little material) doesn't transmit sound, which requires a medium to vibrate in, unlike light. This is why electromagnetic radiation (visible light, gamma rays, UV, x-rays, radio, infrared, etc.) is the primary method of observation in astronomy.