Fn is simply a modifier to allow the same key to be used for two purposes. It started on laptop keyboards, where space was at a premium, and has since migrated to Apple's regular keyboards.
As far as Fn-Delete: if you are referring to the Delete key in the same column as Return, Mac has used Delete as the name of that key for a while (couldn't nail down a date, but it seems like it started shifting sometime in 2010). Windows has used Backspace instead (a holdover from typewriters, where it literally moved the carriage "back a space", to allow for overtyping). Regardless of what it was called, it has always deleted the character or space to the immediate left of the cursor. Delete seems more accurate, since you are not actually just moving the cursor, but removing the character too.
The key that is generally further to the right on the keyboard, labelled Del or Delete on most Windows keyboards, deletes the character to the immediate right of the cursor. This key is also present on full-size Apple keyboards. On laptop keyboards, where space is, again, at a premium, the key does not exist, so the modified key combination of Fn-Delete was implemented to allow this functionality to still exist absent a dedicated key.
Command is generally used for command execution. Command-Q executes the Quit command for the foreground program, for example. The majority of keyboard shortcuts use Command as a starting point, sometimes adding Option and/or Control as modifiers.
Control in recent times is generally only used as a modifier to allow additional keyboard shortcuts to exist. It still, however, acts as a right click when using Control-left click, from when Mac did not have mice with more than one button.
Option is generally also used as a modifier. In some applications, it changes what menu items are present. In Chrome's File menu, it changes "Print..." to "Print Using System Dialog" and "Close Window" to "Close All Windows". This extends to its use as a way to type characters not found on the user's physical keyboard, such as ¢ (using Option-4).
Apple's Human Interface Guidelines outline their philosophy on the creation of keyboard shortcuts:
As much as possible, use the Command key as the main modifier key in a keyboard shortcut.
Avoid creating a shortcut by adding a modifier key to an existing shortcut, unless the shortcuts are related.
Use the Option key sparingly.
As much as possible, avoid using the Control key.