My company makes data loggers for wind site analysis, so we measure a whole lot of wind speed and direction.
I use instruments from Fascinating Electronics,
http://www.fascinatingelectronics.com and NRG Systems
http://www.nrgsystems.com/. Fascinating's instruments are pretty high quality kits at reasonable prices. NRG's instruments are commercial units and can get to be spending.
Note that Fascinating is currently out of stock of their wind vane kits, however they should have plenty of anemometer kits.
Oh yeah, blatant plug for my company: Check out our wind measurement products at
http://www.windmonitor.net/. Source code for our data loggers is available under the GPL license, so that may help you.
-Jim