Wind makes the outdoors more fun, and presents natural science lessons.
There's nothing quite like standing on high ground, inland or at the coast, and letting the wind clear your senses. There's something inherently fun about being jostled by the breeze as you explore the uplands. All that fresh air helps you sleep later, too.
A good breeze is also an opportunity to explore wind power with your kids. Look around online and you'll find all sorts of contraptions your children can make for measuring wind speed and power, from anemometers (wind gauges) to homemade kites. There are templates for making pinwheels, which can be painted and decorated before planting in garden, or windsocks, which are very simple and perfect for very young children to paint and adorn.
And don't forget bubbles. The simple wand has long been superseded by giant wands and loops for big bubbles, and bubble guns for creating dozens of tiny bubbles with each blow. If it's really windy, just dip, hold up the wand and watch where the bubbles go.
You could also explore the sounds the wind can make. Choose a wind chime for your garden, or even make one. If you're really ambitious, you could also look into making a wind flute.