Shorter, near infrared waves are not hot at all - in fact you cannot even feel them. These shorter wavelengths are the ones used by your TV's remote control.
This statement is simply wrong. The reason you don't feel them as "heat" are two fold (I believe). One is that the intensity of the remote control is very very low. If it put out the several 10's of watts that a bathroom "heat" lamp put out you would feel it so some degree. Also the different wave lengths of EM radiation react differently with your skin. Some are poor at transmitting the energy they carry and so will not be experienced as much as heat (or not at all). Gamma radiation will, in a lot of lower intensites not be experienced at all as most will pass through you. Some radio waves will definitly be experienced as heat. There was a suggestion that by using the right wavelengths it would be possible to heat a home by making each room into a large microwave. As long as they didn't penetrate too deeply they could warm you without warming the air and so be very efficient. I think they would have a major PR problem though (however good the science behind it)
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So a wide range of different wavelengths will allow an energy transfer. That will raise the kenetic energy of the skin and be experienced as heat. Some wavelengths will be inefficient some not.
There is no "heat" energy. Heat is a manifestation of the kenetic energy of the atoms of materials. It is colloquially called "heat energy" for that reason.