Wind Direction
A wind vane, or weather vane, shows the direction of the wind. In most cases, this is where the wind comes from, although a minority of vanes might be set up to show the direction the wind is heading toward.
Implications
The Atmospheric Radiation Measurement Climate Research Facility says this not only gives the wind direction but also indicates what type of weather might be coming toward the area. For example, wind coming from the east in New Mexico indicates fair weather.
Setup
Wind vanes usually have a horizontal pointer set on top of a spindle. The pointer has a portion that is big enough to be pushed around by the wind, causing the pointer to end up in a certain position. The vane might have decorative elements or be plain.