Wind blowing over the sea surface transfers energy to water.
This energy produces motion of water particles.
The motion appears in the form of waves.
Waves possess kinetic energy due to movement of water particles.
They also possess potential energy due to elevation of water surface.
Both kinetic energy and potential energy are forms of mechanical energy.
Therefore, wind energy transferred to the sea surface is stored in waves as:
\[
\text{Mechanical energy}.
\]
It is not stored as chemical energy because no chemical reaction is involved.
It is not directly stored as electrical energy.
Thermal energy is associated with random molecular motion and heat, not wave motion.
Hence, the correct answer is:
\[
\text{Mechanical energy}.
\]