Supposedly Cricket was able to have wings for an event, but that was a special thing, and they won't be unlocked for the rest of us until I8. That's actually what I thought this post would be a video of. Oh, well, it's not like I wasn't waiting on it already.
Dragon Lord Morgon will definately be getting wings, as will the several incarnations of Element Dog, including Genie Gold, who took his place when CoH didn't have dogs or werewolves at release. Morgon will have demon wings, (dragon wings, actually) while ED/GG will have (golden) angel wings.
I may give Sandy a costume with wings, just because her original concept had them. Much the same as giving Jade Dragon a costume with a trench coat. They "really" don't have wings or trenchcoats in game, though, so I probably won't use those costumes. (Although JD may wear his trenchcoat in his secret identity form)