The photoelectric effect is explained by a cool experiment which exactly displays why the wave model doesn't apply to the idea of photons.
Here's a diagram of the experiment: 
The wave model insinuates that the strength or amplitude of a light wave is proportional to its brightness, suggesting that a bright light should be strong enough to generate a large current.
EDIT: Physically, this means that the energy of the electrons increases as the intensity of the lamp increases, which implies that the speed of the electrons travelling in the tube from the cathode to the anode is also higher.
However, the experiment shows that, as long as the lamp is on (intensity $> 0\%$), the energy of the electrons remain the same regardless of the intensity of the lamp (energy = $x$ Joules whether the intensity is 50 or 100%). Only the number of electrons emitted from the cathode increases, causing an increase in the current of the circuit. This implies that there's a relation between current and intensity (which is directly proportional).
The experiment performed with varying frequencies of light shows that the energy of the electrons increases with higher frequencies (a linearly proportional relationship exists). This relationship is depicted by $ E_e = hf - \phi =\frac{hc}{\lambda} - \phi$, where $h$ is Planck's constant and $\phi$ is the work function of the metal (the minimum amount of energy required by electrons to escape the surface of the cathode).
EDIT: Einstein was inspired by Planck's black body radiation results and used the idea of obtaining energy from the electromagnetic field in discrete portions, indicating to him of the existence of quanta called photons.
These experimental results strongly indicate that the wave model for electromagnetic waves is not compatible with the photoelectric effect, as no energy variation in the electrons is observed with a change in intensity.
EDIT: Here's a link to an interactive Java animation which allows you to "play" around with this experiment beautifully.