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Besides the Abrahamic religions Zorastrianism (which appears to have influenced Judaism and the subsequent religions) seems to have had them. Additionally belief in intermediary beings like angels and demons exist in most every religion I'm aware of, but they may not have wings. The eastern religions come to mind with the Jade Emperor and all of his court. The various Asuras of Hinduism. Leigong in taoism. Eros in the Greek religions. Valkyries in old Norse religions. Some of the mythical beasts like sirens, harpies, and tengu. Etc.
Also wings on angels seems to have largely been an artistic representation from the Renaissance era. Most theologians on the subject don't think that angels actually have wings. I'm aware of only 2-3 passages which reference winged angels specifically talking about Cherubim (4 wings) and Seraphim (6 wings) although most would say that this was symbolism. Cherubim are also described as having four faces, wheels, and bronze feet. The rest of the verses describing angels say that they look human and could be mistaken for them ie Hebrews 13:2 "Do not forget to show hospitality to strangers, for by so doing some people have shown hospitality to angels without knowing it."
Zoroastrianism had them