There are a lot of costumes that use wings. They can be a bit pricey to buy, so I'm going to share a variety of wing tutorials, so you can make your own.
This a basic and great way to make fairy wings.
The lovely and talented (both craft and musically) Emilie Autumn makes great Fairy Wings.
These are amazing. The look like a Greco-Roman sculpture.
These are small and nicely done.
These seem to be the written instructions for the demon wings below. There are no photos with these instructions, so see the below video for extra help.
If you can get past the geeky commentary and extra crap, this tutorial is actually pretty good. These can be used for demons, dragons, gargoyles, bats or what ever type of webbed wing creature you desire. Of course, you can change up the color, size and amount of fingers you want.