A ray of light is electromagnetic radiation. Electromagnetic radiation is energy in the form of a wave that travels in a direction through space at the speed of light. It is composed of two different phases, or fields: an electric field and a magnetic field. These two fields are perpendicular to each other and both move in the same direction as the energy wave. This is depicted visually in the reference links below.
By using the term "light ray," you are denoting that the energy falls within the visible portion of the electromagnetic spectrum. Let me explain this. All energy waves have a particular wavelength, or the distance between two crests of the wave. The smaller the wavelength, the higher in energy the wave is. The visible portion of the spectrum are the wavelengths that correspond to visible light, or the energy waves that our eyes perceive as light. This means wavelengths of several hundred nanometers, about the size of a bacteria cell.
Ray of light is the same as saying "light ray". This is the visible portion of the electromagnetic spectrum. What we can actually see with our naked eye. Simple as that, it is the ROYGBIV colors of a rainbow.