Urban areas can do lots of funny things with wind. You have to understand that the wind is a fluid that flow just like water. If there are channels...like tall building or trees or even open streets...the wind is going to take the channel that offers the least resistance.
Spot on. Especially in parts of Brooklyn/Manhattan. When I lived in Brooklyn Heights (which is, like, "Chicago" windy) I began to notice that certain corners were invariably windy, and the wind direction did not vary much through the year, either, just the speed. This one block I remember had three sides that were difficult to walk "up" (it was level) over half of the time (and easily folded umbrellas), and every now and then could send a smaller person tumbling.
Since the buildings often play a bigger factor in direction that other things, perhaps it would be useful to chart the blocks around your route over time, and see if you can find a route that gives you tailwinds...