Paleontology has helped us understand the lineage, the unique evolutionary histroy, of birds. A particulary important and still contentious discovery is Archaeopteryx, which is considered by many to be the first bird. It is actually intermediate between the "bird" that we see flying around in our backyards and the predatory dinosaurs like Deinonychous.
Archaeopteryx certainly had feathers, although whether these feathers were used for regulating its body temperature or for flight is a matter still open for debate. Feathers may have originally evolved for endothermy and then could have been co-opted into flight. Below is an artistic rendition of what Archaeopteryx might have looked like.
