Get 5 of those BMP085 barometric pressure sensors. Place 4 of them on the 4 vertical sides of a cube. Place the 5th on the top surface or even inside the cube with a small hole on to allow pressure equalization. Measure the difference between the sensors and calculate/interpolate the windspeed and direction. The sensors are said to be accurate to 3 Pa. I have no idea what change in pressure a given wind speed causes, but Bernoulli's Principle should enable its calculation.
Problems: weatherproofing; addressing each sensor on same i2c bus.