Different wines have different 'bouquets' that develop once oxygen hits the wine. So, the shape/height of the glass helps the bouquet develop correctly.
Also, the shape of the glass determines where the wine should 'land' in your mouth for ideal tasting of the wine.
Some wines/champagnes (or prosecco) are meant to stay chilled...so in that case, you want a taller glass to let less heat escape the volume. YUM, CHAMPAGNE/PROSECCO!!