Windfinder is the best IMO for historical wind data by month. For example, you enter a weather station nearest to you, click on "Statistics", and scroll to the bottom where it has the wind direction distribution % chart.
It shows you the most likely wind directions for your area in the month you select. For example in the area I hunt and for the month of October, there will be some sort of a South wind 56% of the time. This means approximately 17 days in October will have some sort of South wind. This is especially helpful for out of state hunts where you are trying to predetermine hunt locations/areas.
Wunderground is great for looking at individual days but the weekly/monthly data provided isn't the most helpful IMO.