I would think that they are very good at cancelling some noises, ie machinery hum and the like. The way they work is to analyse the sound and produce a sound exactly opposite, as Roger said. When I've tried them I found that they take a little while to get the sound cancelled, due to the analysing time, I suspect. I seems that the reason that speech is not impeded is because the speech is not analysed as a repeatable pattern, and so the set can't produce an opposite.
So, to move it on a bit and prevent any prevaricating around the bush (As wallace said);
Wind noise is caused by vortices being formed and collapsing/shedding etc. The sound is about as random as that of speech (as far as the set is concerned).
Therefore, to cut a long story short; I wouldn't expect them to work well on wind noise.
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