What Are Angels?
Why angels? Lord knows. Many tasks have been assigned to them in Jewish and Christian tradition, in folklore and folk theology. People have been guessing at it for 4000 years, probably longer. One helpful view is that angels are sent by God to bring the truth, especially the big truths, to specific people in critical situations. The biggest truth (the one that Jesus Christ was living, dying proof of) is that God is with us and for us, and an angel is sent here as a part of that. God's message can be a warning, or be a comfort in times of danger and fear. There's more going on than the careless eye can see, so God's messenger points it out. Since God is way too much for us to take, the messenger is sent in God's stead, like a diplomatic envoy. What happens then is between humans and the Lord. God chose this way (among other ways) to keep in touch with us and not be a far-off Deist god.
Part of the Unseen
Angels are among the unseen in the "all that is, seen and unseen" that the Nicene Creed says the Father created. They don't decay or die, since they are spiritual beings. They exist to praise God and to bear the message and task for which God sends them, including to us humans. They can think and hold conversations, and they have their own identity. And they appear to people of all religions, even those of no religion at all, when God wants them to listen. Noone can prove angels exist; they are, after all, spiritual beings and don't fit into material-world rules. Not all religious folks believe in angels (for instance, the Jewish Sadducees, and many modernist Christians). But those who have a strong sense of spirituality tend to believe angels are real, and sometimes experience their presence. Thus there are many angel reports from India, Malaysia, and other Asian countries. That's no surprise, since God loves them, too.
The ancients couldn't picture anything in the 'pure' world of heaven as being female or neuter, so they called them mostly what they felt was greatest - male. Maybe we're getting over such a narrow vision. Angels are often pictured as having feathered wings. The ancients believed the angels flew, so they portrayed it through the only means of flying they knew of: the feathered wings of a bird. I suspect this image comes in handy for angels. They don't need wings to fly (they're supernatural beings), but wings of what would be the necessary size inspire awe in us ground-bound material-types.