The thing is that the conventional states of matter - solid, liquid, gas and plasma - are based mainly on human experience with normal atomic matter here on Earth. When you start talking about very different conditions, or very different forms of matter, you can get very different sorts of behavior, and those states don't really apply that well.
For example, many materials have one or more critical points, temperatures and pressures where the distinction between two phases ceases to exist. A very common example of this is when there's no longer a difference between gas and liquid, typically at high temperature and pressure. You can find this sort of thing in the interior of gas giants.
Another thing to keep in mind is that there are more phases of matter then just those four. Ordinary water has several different solid phases aside from normal ice, each of which has a distinct phase transition from the others. The liquid crystal in LCD is another example.
And then you get to things that aren't made of atoms and molecules which are usually hard to classify with the classical phases, such as neutron star material.
Photons are odd beasts, and behave very differently from any material you'd encounter in everyday life. You can think of photons as being "pure" energy, although I personally don't like that terminology. Don't think of them like tiny little balls or something like that, they only occasionally behave anything like that. A lot of the time they behave more like waves, and are actually an odd cross between a wave and a particle, but that's another long explanation. Aside from the wave particle duality, Relativity says that because of their nature photons *always* move at exactly c, relative to all other observers and all possible frames of reference, including other photons. So you could never "stick" photons together like atoms in a solid, because they're always moving at c relative to each other.