Most Egyptian gods have animal heads. Why is that?
Egyptian gods were often depicted in therianthrophic – part human, part animal form, to depict the personality of that particular god/ess in a symbolic way. For example, Sekhmet, goddess of ferocious war, was sometimes shown with the head a lioness, as lions are ferocious creatures. Similarly Anubis was shown with a jackal head because the jackal was associated with the necropolis and Anubis was a god of the dead.
There are also theriomorphic depictions, where gods are shown entirely in animal form. These are quite common, and in fact were the most common representations of gods in the very earliest periods of Egyptian history. For example, Anubis as a black jackal, or Thoth as either an ibis or a white baboon. Taweret was even a hybrid of hippo, crocodile and lioness.
It is the same reasoning behind why Christians equate Jesus with the lamb, or why we give angels wings.
It's mentioned in the Coffin Texts that only the dead can know the true forms of the gods. (Erik Hornung- Conceptions of God in Ancient Egypt.) "None of these images shows the true form of a god, and none can encompass the full richness of his nature–hence the variable iconography of Egyptian gods, which is seldom reduced to a fixed, canonical form. Every image is an imperfect means of making a god visible, characterizing his nature, and distinguishing him from other deities."
The animal heads (and various headdresses) are meant to tell us something about the gods, and to distinguish them in artwork. Aset/Isis wears a stairstep-throne on her head to show she's the Queen. Wepwawet, "the opener of the ways," was shown in jackal form, or with a jackal head because they stylized the jackal as sleek, fast, and agile.
Piper was partially right but her answer is not entirely correct. The other reason is because they were shape shifters. Horus could become a full-on falcon,Anubis could become a jackal and Seth(Set) could even become what I think is an aardvark. However,the case of them having animal heads was something they had to begin with.