It is done in order to increase the strength of the lines. As the transmission lines are made up of strands, so if they will be straight they will produce more swing, and it will be really hard to maintain.
The conductors used for transmission lines (16kV for example) are made with a hard steel core surrounded by aluminum or copper. Copper and Aluminum are more conductive than steel so this would normally be a problem, but due to the skin effect of AC, the current tends to stay on the outside of the conductor, where the more conductive metals are. This keeps the heat of the lines down and everything going smoothly.