Inspired by this post I gave scenery layers velocity. Naturally, by default this velocity is zero. But by imparting a velocity you can get effects like this dust storm. Note the background clouds and the foreground “dust” are both moving, and at different speeds.
Note that this isn’t a terribly fantastic example of the effect. For one, semi-transparent billowing clouds would look better than little dots flying across the screen. (Programmer art strikes again.) For two… it might even been cool to use simple particle-like sprites for better effect. Imagine little leaves, or dots of sand, or tumbleweeds (i.e. whatever’s appropriate to the environment) flying across the map, bouncing off the floor, bumping off scenery and the player!
Another idea would be to make the wind a gameplay factor. For example it might be the case that it’s easier to jump long distances with a tail-wind.