Wind is caused by differences in air temperature. If a volume of gas is heated and placed next to a volume of unheated gas, the hot gas will flow into the cold gas. The reason for this is that the heated gas particles become more energetic and thus the pressure increases for that volume. Pressure will naturally equalize thanks to entropy, the hot gas particles will fly into the cold volume faster than the cold particles will fly into the hot volume. On earth, there are two main causes of wind, surface heating and planetary rotation. The equator is exposed to the sun for much longer than the poles, and thus it is hotter, causing that air to flow else where. The rotation of the planet can determine in what direction the winds will flow because of friction. Air will eventually hit the planet, and if that planet happens to be rotating (like ours) it will impart some of that rotational energy to the air particles.
There are more localized causes of wind too. Say you live by the ocean for example. During the day, the land will heat up much faster than the water because water has a much higher specific heat. The hot land will impart energy to air particles wich will rise. This creates an area of low pressure over the land that will be filled up with colder air from over the water. At night this process will reverse because the land cools down much faster than the water. Another major factor in wind speeds and direction are mountains and hills. A mountain range, if tall enough, can block wind from getting to the other side. This becomes a problem when they are high enough to block clouds, and thus rainfall from the oceans. High enough mountains can cause deserts. If there happens to be a gap between to mountains or hills, air will be funneled through it, and those winds can be very strong.
Another interesting feature of wind is that it can erode the land near it, similar to the way that water can carve out valleys. Winds are able to pick up debris particles like sand throw them against objects that happen to be in the way. This continual sand blasting over long periods of time can create some very interesting features.
Windpower is a very useful form of alternative energy. These incredible forces are going to continue to flow around our planet whether we're there to catch them or not, so why not gain something from it? Wind turbines can pay for themselves very quickly, and an array of them on a barren hillside can fulfill the power requirements of an entire city.
Wind plays a very important role in non human related nature. Many plants rely on wind to spread their seeds, birds often need updrafts and wind currents to aid in their flight, and many insects travel with the winds. There are also negatives in nature as well. Winds aid in spreading forest fires, without them we'd never have some of these blazing infernos that we so often see. Winds can also be detrimental to animals by blowing their scents around so that they can be hunted, or eroding the soil that grows their food. Ultimately, we need wind to survive, and it seems like there is always something bad associated with every part of nature.