A couple of years ago I got really interested in the shape of cooling towers after hanging out inside a couple of derelict ones. I couldn't find a solid answer as to why they are hyperboloids, and in fact not all of them are, but the most common explanations were:

1) the throat at the top could be the optimum shape for creating cooling via the Venturi effect

2) they can be built entirely with straight diagonal structural members, as each section of the Shukhov tower illustrates, but only the very earliest ones would have been made this way and they're certainly not any more

3) they were the only suitable shape that could be analysed on paper, before the advent of computer-based structural analysis

4) uniform structural stiffness with no particular points of failure, as in the above article

Even a thorough literature review from the period after some collapsed in storms was inconclusive... from the proceedings of the 5th International Symposium on Natural Draught Cooling Towers: http://books.google.com/books?id=6j5nuvAd44QC&pg=PA3

I highly recommend a look inside one, the acoustics and general enormity are quite something. Being inside an active one looks to be even more of something from these pictures: http://www.foantje.com/active-cooling-tower/