Since $f(0)=0$ and $g(0)=1$, we also have $f(-y)=-f(y)$ and
\begin{align}
f(x+y)=f(x)g(y)+f(y)g(x),\\
g(x+y)=g(x)g(y)-f(x)f(y).
\end{align}
Set $\psi(x)=g(x)+if(x)$. Then
\begin{align}
\psi(x+y)=g(x+y)+if(x+y)
&=g(x)g(y)-f(x)f(y)+i(f(x)g(y)+f(y)g(x))\\[1ex]
&=(g(x)+if(x))(g(y)+if(y))\\[1ex]
&=\psi(x)\psi(y)
\end{align}
Thus $\psi$ is a homomorphism of the additive group $\mathbb{R}$ into the multiplicative group $\mathbb{C}\setminus\{0\}$. Conversely, any homomorphism from $\mathbb{R}$ to the multiplicative group $\mathbb{C}\setminus\{0\}$ provides a solution to the functional equations we're dealing with, by taking the real and imaginary parts for $g$ and $f$ respectively.
Let $\varphi\colon\mathbb{C}\to\mathbb{C}$ be a field automorphism. Consider the map
$$
\psi\colon\mathbb{R}\to\mathbb{C},\qquad
\psi(x)=\varphi(e^x).
$$
Then $\psi$ is a homomorphism of the additive group of $\mathbb{R}$ into the group $\mathbb{C}\setminus\{0\}$.
Let's take as $\varphi$ an automorphism that doesn't send the reals into the reals; the existence of such automorphisms was first proved as a consequence of Steinitz's theorem by Segre (Atti dell'Accademia dei Lincei, 1947). Of course, this requires the axiom of choice. Basically, an automorphism is defined by an arbitrary permutation of a transcendency basis of $\mathbb{C}$ over $\mathbb{Q}$. It's sufficient to send a real element (we can always assume one is present, say $e$) into a non real one (which of course must exist).
By Theorem 2 in a paper by Kestelman (Proc. London Math. Soc. (2), 1951), the image of the reals under such an automorphism is dense in the complex numbers; since
$$
\phi(\mathbb{R})=\psi(\mathbb{R})\cup\{0\}\cup(-\psi(\mathbb{R})),
$$
also $\psi(\mathbb{R})$ must be dense in $\mathbb{C}$, so it can't be contained in the unit circle and so $\psi$ has not the form $\psi(x)=\cos(ax)+i\sin(ax)$, for any real $a$.