Wind is just moving air and is caused by differences in air pressure. So what, you might ask, is air pressure?
What exactly is wind? And why does it blow?
All molecules, even air molecules, have weight. (If air didn't weigh anything, it would float off into space — and we'd be up a creek.) What's generally labeled as the Earth's atmosphere extends about 50 miles above sea level. Imagine all the molecules that would fit in something that's 50 miles high and covers the whole planet's surface — together, this huge number of molecules weighs quite a bit. Gravity makes these molecules press downward on whatever is below them, so the closer you get to the Earth's surface, the more tightly packed are the molecules. (Ever hear of someone describing the "thin air" on top of a mountain? That's exactly what they mean. There are fewer molecules, and thus less air, up higher.)
Air under high pressure naturally flows toward areas of low pressure. The greater the difference in pressure, the faster the air flows. This is wind.
Air pressure differs from place to place and from day to day for two reasons.
The earth's rotation: As the earth spins, it drags the atmosphere with it, but higher air is less affected by drag. These differing air speeds at different altitudes cause air to mix, forming turbulence, which causes wind down here near the Earth's surface.
The sun: The sun varies in how much it heats air depending on time of day and the season (which hemisphere is closer to the sun). You know that the blazing midday sun is heating more air than it is during sunset, when the sun is low in the sky. As warmer air rises, the cooler air fills in and causes a breeze.
Air over land heats and cools more quickly than air over water. So during the day, the air above land warms up and rises and cooler air moves in from over the ocean, which is what causes a breeze to come in from the water in coastal areas. During the evening, the temperature above land drops much faster than it does over the ocean, so this effect reverses and the wind flows out to sea.