I've seen proofs for this theorem and understood then. However, I feel like I can gain a better intuition.
I would never think of this theorem myself. How could someone discover this theorem?
Is there a visual intuition?
Any other things that you think can help me gain a better intuition for that theorem?
(Feel free to answer even without answering all of the above questions. Such answers can still be helpful :) )
This is a nice question I had at one point, too. I'll echo the explanation I got at the time.
If $V$ is a vector space, a linear map $P\colon V\to V$ satisfying $P^2 = P$ is called a "projection." Given any projection, it is always possible to write a vector in a unique way as a sum of something in the kernel and something in the image. For matrices and the symmetric + skew-symmetric decomposition, you can check that $$ P(A) = \frac12(A-A^T) $$ is a projection whose kernel is the symmetric matrices and whose image is the skew symmetric matrices. In the case of functions on $\mathbb R$ and the even + odd decomposition, you can prove $$ P(f)(x) = \frac12(f(x)-f(-x)) $$ is a projection whose kernel is the even functions and whose image is the odd functions.
Even more, these two specific projections both arise in the following way. An involution is a linear map $T\colon V\to V$ such that $T^2 = I$, where $I\colon V\to V$ is the identity map $I(v) = v$. If $T$ is an involution, then $\frac12(I-T)$ is a projection. The involution in the case of matrices is $T(A) = A^T$ (take the transpose), and the involution in the case of functions is the reflection map $T(f)(x) = f(-x)$.
Another involution you may like to think about is the complex conjugation map that takes a complex number $z = x + iy$ to the complex number $\bar z$ defined by $$ \bar z = x - iy. $$ Then we can also realize the decomposition $$ z = \mathrm{re}(z) + i\mathrm{im}(z) = (\frac{z+\bar z}{2}) + i(\frac{z-\bar z}2) $$ as an example of this phenomenon.