According to an anti-turbine friend, it is so they can kill birds more efficiently. (See the other answers for more sense.)
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That's the pressure drop that powers the blades, and apparently more effective on bats than birds...
Windows and power lines still kill far more birds.
The blades are thin to reduce the overall mass of the blade thus maximizing rotational efficiency (wind will spin a light blade more readily than one that is heavy and cumbersome) The blades are sharp at the tips to reduce vibration and noise from the vortex that is created from the rotations, the design concept is similar to that of modern Helicopter rotors who's blades tips are actually spinning so fast through the air they break the sound barrier as they go.
Thin blades have less wind resistance when cutting across the flow of air and they're sharp pointed either because some computer program said they would work better sharp pointed or because cutting out sharp pointed blades took less material. Most of the windmill blades are a product of extensive computer modeling and research in the field and experience.
You beat me to it - "drag" :D not only do they have to turn forward motion into rotational torque - they want to do it as smoothly as possible.