Winged unicorns, often called "alicorns" in the pony fandom are a special breed in Equestria. They have wings and a horn where a majority of the ponies are either unicorn, pegasus or earth ponies. Thus far all of the alicorns in the show have had a special role to play, be it raising the sun or threatening eternal darkness. In the toy forms the alicorns tend to be taller than the normal pony mold as well.
You may remember this picture from an earlier post about Princess Cadence and Shining Armor. To reiterate The Cadence from the alicorn pack is on the left (sparkly) while the other Cadence is from the wedding castle playset. Since we do not (yet) have a toy for Queen Chrysalis just pretend that second Cadence is the changling Queen.
Now I have a question for my readers. If a group of seagulls is a flock and a group of dragons is a flight and a group of unicorns is a glory.... what the heck is a group of alicorns?