The four ancient Greek winds were Boreas (N wind); Eurus (E wind); Notus (S wind); and Zephyrus (W wind). From the letter we get the English word zephyr which means a gentle breeze or a westerly wind.
Around the world there are many local winds with their own special names. Amongst these are:-
Auster - also known as Sirocco - a hot dusty wind that blows from North Africa to S Europe.
Levanter - An easterly wind in the west Mediterranean in late summer.
Föhn - a warm dry wind down the N Alps.
Mistral - a cold dry wind down the Rhone and other S French valleys.
A willy-gwilly is the name given to an Australian dust-storm or cyclone.