Staying out of the wind is important in that the wind cools you down faster, more so when you are wet and tired.
By staying out of the wind you mantain your body heat better, making your stay outside more pleasant.
In winter the wind will increase your chances of getting frostbites or even worse hypotermia (hypotermia could also occur in summertime).
Below is a couple of windchill (felt temperature) charts, both for the metric/celsius people and those with a preference towards the imperial numbers.
Most people don`t have means to measure the wind speed when out in the woods (although small digital instruments are available).
Below is a chart showing the Beufort wind scale, with description of the effect the wind has on the sea or trees, making it possible to guess the windspeed you at any given moment.
It is -5 degrees outside but it feels like -15 degrees.