What is a wind shirt? It's an extremely lightweight unlined nylon jacket, Durable Water Repellent treated but definitely not waterproof. It is far more breathable than most hard shell fabrics.
I never used a wind shirt until a few years ago when I got thoroughly munched on by biting flies in Wyoming's Wind River Range, despite my permethrin-treated hiking shirt. (When I read the label, I discovered that permethrin doesn't zap flies.) I bought a 2.4 oz. Montbell UL wind shirt primarily to keep the flies off me during rest stops, which it does do. It has since become the most versatile garment I own!
Unless it's cold, my wind shirt is usually all I need to keep me from getting chilled at rest stops. When I'm hiking in cold weather (down to freezing), as long as I'm moving, my wind shirt over a base layer (plus a wool headband and lightweight gloves) are sufficient to keep me warm. When it gets colder, a second base layer or a lightweight fleece vest under the wind shirt works great. Of course my puffy jacket comes out as soon as I stop.
Here in the Pacific NW, we get a lot of foggy and drizzly days that are cool but not particularly cold. The wind shirt works perfectly for those days, when I would get into a lather were I wearing a rain jacket while actively moving. (For me, that's true even with Dri-Ducks or Frogg Toggs.) My body heat dries out the wind shirt and the base layer underneath it in maybe 10-15 minutes at most, once it stops drizzling.
I've also worn the wind shirt to bed on occasions when I wanted a little more covering than just a base layer top inside the sleeping bag but it definitely was too warm for the puffy jacket.
And, of course, I wear it as a windbreaker!
As Terri mentions, don't expect to find at REI most of the gear the folks here use.