man, i was all excited to post about all the cool angels i knew, and then... yeah, man, what a dearth of cool angels in fiction!
i do think, at least in recent years, the angels from Darksiders are really fuckin' cool and i kind of hope that the franchise gets a fourth entry and - more importantly - some spin-offs where we get to play as an angel.
most of the suggestions here are also pretty rad but i do want to give another shout-out to SMT. a really good example of making angels weird and horrifying again. also, of course, you can play El-Shaddai: Ascension of the Metatron, which is not necessarily a good game, but certainly a pretty one and the angels are really great.
also, while i wont say its necessarily objectively good, id be remiss if i didnt mention one of my childhood favorite pieces of angelic media - Kaori Yuki's Angel Sanctuary. a shoujo manga with a whole host of angelic and demonic characters that im still kind of in love with.