A swift messenger

Mercury, in his role as messenger of the gods, needed to be able to travel swiftly, and an explicit attribute was used to depict this notion: the little wings that spring from his hair.
In the Greek world, Hermes-Mercury was portrayed with winged sandals and a winged petasus (wide-brimmed hat). In the Roman world, he was often represented with the winged petasus only, and sometimes with wings sprouting directly from his hair, as they do here.