Chaos flying monkeys!
No, seriously, that is what they are and what they shall always be, and while all the fans agree they are expendable, half think of them as pretty funny and practice the whole "fly, fly my pretties!" line when they are using them; others consider them just meh and fling them at the nearest Tau Fire Warrior squad to soak up the plasma.
Furies (no, not furries) look like winged, leathery gargoyles and come from all colors of the rainbow. Most of the time they are treated as the butt monkeys of Chaos, and are often there to get blasted into smithereens and mulched into pulp in any 40k novel either starring the Imperium or Chaos. They are mortals who couldn't stick with one Chaos God out of greed, and so lost out when they died since no-one wanted them. Important lesson kids: the Gods can mess you around as much as they like, but if you have ideas above your station... prepare to be a winged mongrel for all your afterlife. Being the weakest of daemonkind, they get picked on by all the other lesser daemons (the irony in the term 'lesser' here is quite delicious).
On rare occasions, a pack of Furies will become trapped in realspace, cut off from the warp and the terrible realm which sustains their existence. Usually in such cases the creatures would simply fade, screaming, into nothingness. When caught outside the warp in the strange currents and eddies of the Screaming Vortex, however, something entirely inexplicable happens. In these rare cases, the pack of daemons slowly begins to wither and atrophy, their warp-infused bodies losing their vitality, yet they still live on, tormented by their separation from the warp but unable to simply vanish from existence. The only means by which the swarm of gargoyle-like beings may remain in existence is by feasting on the misery, pain, and torment of mortal souls. As such, these swarms of creatures from the nether seek out groups of living beings in desperate attacks.
Other daemons treat Furies in the same way an Ork does a grot; potentially useful at times and a snack always if they get hungry. Even the whiniest of Cultists get more respect from their own commanders. Don't believe us? Than how about the fact that even mortal servants of Chaos have the power and ambition to not only attempt to summon but even successfully enslave Furies. Such is life when you are lowest on the ladder...
Despite the name, they have zero relation whatsoever to Ancient Greece's female personifications of vengeance.
They got new plastic models as of Warcry, with an updated look.