Hypnos, Morpheus, Thanatos, and the Oneiroi (dream spirits). Eros (Cupid) and the Erotes, spirits of love and sex, also all had wings. The Greek gods of the four winds also had wings, as did Iris, Arke, Hermes, and probably quite a few others who aren't coming to mind. Sirens were also winged spirits, being part bird, part woman, or sometimes just a woman with wings. In Egypt there was Aset (Isis), Nebet-het, Nut, Ma'at, Mut, and others. Mesopotamian Ereshkigal likely has wings, as does Ishtar, Ninurta. Many deities and spirits in these areas had wings.
I sing of you, blessed, night-winged Dream, Messenger of things to come, greatest prophet to mortals, in the quiet of sweet sleep you come silently and speak to the soul.