Shawn Wallace from AS220 showed me the very cool low-cost wind sensors they make:
(there's actually two versions for different wind speeds)
Could be an interesting thing to try with a data logger, although it only does speed and not direction.
Is there an easy way to measure direction too? I guess I'm thinking some kind of windvane attached to a potentiometer, but it seems like rain would become a problem. Anyone heard of easy ways to do this? Thanks!