I've riden into 20-25mph winds. The whole time I was thinking "I'll have a great tail wind going home...I can't wait!". Then I head back and realize that the winds have died, I get a normal ride back. Or the winds have changed direction, and I have to fight them again.
My favorite strategy when it is windy is to ride a pretzel loop (instead out and back to somewhere). That way I have head winds for a while, cross winds, tail winds, cross winds again, and then back to head winds.