Wind is never still, it is always moving, due to temperature differences, differences in topography, differences in the time of day, the Earth’s rotation, low or high pressure areas, etc. When building a shelter in the wilderness, a basic idea of wind flow might make it easier to align the shelter in a way that your night is not as affected by the wind as it otherwise might have been.
In coastal and mountainous areas, wind flows in opposite directions during the day and night. In the coast line, sea breeze flows in during the day and land breeze flows out during the night. This is because water heats and cools slower than land. So in the day, the air over land is warmer than the air over water. This causes a low pressure area to be created over land, thus rushing in the cooler sea breeze.
In the mountains there are the katabatic winds and the anabatic winds. Katabatic winds or mountain winds flow down from a mountain into the valley while the anabatic or valley winds flow up a hillside. This is because the air on the mountain is warmer in the day due to radiation, leading to the cooler air from the valley to flow up the hillside. The reverse happens at night when the cooler mountain air flows down into the valley.
If you find yourself on a mountain pass, it might make sense to get away from it, further down into the valley. Due to the air pressure flow, the wind passing through a mountain pass is a lot faster (and colder) than down in the valley or on a mountain side away from a pass.