Why do some windows have two panes of glass?

There are several possible answers, and the circumstances would have to be more specifically defined to identify the most likely explanation.

Some windows are double-paned to provide soundproofing. The second pane essentially provides a barrier and additional layer of material through which the sound waves, which are just vibrations in air molecules, need to pass before they can reach you. The more material they have to pass through, the lower the energy by the time...

There are several possible answers, and the circumstances would have to be more specifically defined to identify the most likely explanation.

Some windows are double-paned to provide soundproofing. The second pane essentially provides a barrier and additional layer of material through which the sound waves, which are just vibrations in air molecules, need to pass before they can reach you. The more material they have to pass through, the lower the energy by the time you hear it, and therefore the quieter the sound. 

Double-paning can also provide insulation, especially if the space between the panes is filled with some kind of transparent insulating material—some inert gases such as krypton are used in commercial products. As with the sound waves, the gap provides an additional layer of material which any heat must excite and pass through, which can serve to prevent heat from entering or escaping. 

Finally, double paning can provide some degree of shatter resistance, especially if one or both panes are made out of different materials, such as plexiglass. This is simply a matter of the second pane being a "backup" in the event of the first breaking, and so this would be more likely to be seen in situations where safety is a concern, such as on airplane windows.