There are basically two style wings I draw: Feather and Leather.

There are definitely more types of wings, including fairy, butterfly, furry, flappy, and floppy. I've only ever drawn Feather and Leather, though.

Here are some feather wing examples:

They key to feather wings is to have feathers. If you're sketching, try drawing it like the above. You don't need to make the feathers very detailed to get the idea across.

And this is a leathery wing, or a webbed dragon wing:

This one has holes in it, but you get the idea. It's webbed.