The Sun is basically the engine for our Earth's weather and its heat, the fuel. Air masses form and circulate in our atmosphere due to the Sun's heat. These movements creates differences in air pressure which in turn, create winds. The air is composed of billions of molecules which are constantly moving in all directions. These molecules bounce when they encounter anything. These collisions constitute air pressure. More collisions mean higher air pressure. Air constantly exerts air pressure on us. On average 1 kg per cm2. The density of air is greater near the surface of Earth. Therefore, the greater the height, the lower the density of air. The typical pressure at ground level is 980-1040 hectopascals(a unit used to measure air pressure).
An air mass which is warm expands. Convection is a process where expansion of an air mass causes a drop in density, and the air mass becomes lighter than its surroundings which then causes the air parcel to rise. This process is constantly taking place in our atmosphere, where the Sun provides the heating mechanism. This heating is not uniform because of numerous factors including the seasons, latitude, cloud cover, reradiation of heat from the land and sea, and winds. Therefore convection occurs more in the warmer parts of the Earth.
As warm air rises, an area of low pressure occurs. As cold air sinks, an area of high pressure occurs. Since the atmosphere is constantly evening out all these differences, air from high pressure areas move into lower pressure areas. This movement is called wind. The greater the difference in between these two areas creates stronger winds.
Small-scale winds occur as a result of localized differences in air pressure or temperature or the interaction of large scale winds with local land masses.
An example of this is where local winds may develop on clear sunny days. As land heats up faster than water by the Sun, the air over the land rises and creates a low pressure area. As the Earth is constantly trying to even out all these differences, air from the sea moves to the area over the land. This circulation is called a sea breeze. The reverse occurs at night producing a land breeze.
Strong winds can bring destruction - Hurricane Andrew