A matrix acts on a vector. Rotations act on vectors. What could be more natural than to look at rotations as matrices?
The matrix exponential then makes all this intuitive to work with, if you connect it to solutions of ODEs: dx/dt = Ax has solution exp(t A). If A is skew symmetric, then the change in x is orthogonal to x at all times. So it's a rotation that doesn't change the length. (Alternative: apply a small orthogonal change over and over: (1 + delta A)^N x)
Lie Groups/Algebras vastly generalize this, and you can call skew symmetric matrices geometric algebra, but that's not important. Important is that you generate rotations by continuously making orthogonal changes, and that the exponential map describes this process. I find this picture far more geometric and intuitive than anything else.