Dutch artist Theo Jansen's Strandbeest can walk in the wind.
Lyman Whitaker's wind sculptures look fabulous in the snow
Now, THAT'S a weathervane! By David Boyer
Also, Mr. Boyer's front yard:
Swiss designer Ralfonso's Ad Infinitum
Lisa and Phillip Trejo's "Art 4 Wind"
Do-it-yourself: How to Make a Wind Sculpture.
This is not a wind sculpture, but it is kinetic art. You can see it in motion on the site -- very cool!