I know you can always look up at the blue arrow to see which way the wind is blowing, but environmental clues are both more fun and more realistic.
I'd love to see the wave-pattern on the water indicate the wind direction (fetch) perhaps with small white-caps. Maybe smoke rising from nearby islands and drifting with the wind and clouds moving according to the wind.
Birds typically fly either into the wind or with the wind, but rarely across it. I'm not sure what other wind-clues would be good.