In a sense, like I believe Silver stated, they do give an advantage over wingless characters. Both in game mechanics and roleplay. For example, a character with wings is going to be able to fly on top of meshes that those without would have to pick their way up. ( I say this because no matter the size of my character, I can /not/ get on to the rock on Cape Island without falling through if I am not walking). Meanwhile, my one winged character allows me to swoop in with no fall throughs. Roleplay advanteges would be obvious, in addition to what Amb said in an earlier post, it gives options. Also like others mentioned I find the anatomy lacking, both in movement and position-wise.
I do not care for wings unless I've fallen to a place even Prnt Scrn can't help me (Skyrim). Otherwise I do not use them.