Windshirts, sometimes called windbreakers or wind-shells are one of the most versatile pieces of clothing you can use. A simple, unlined windshirt can ounce per ounce provide more warmth than many other clothing items because it helps prevent convection cooling which increases significantly when windy. In many cases a light wind shirt over an appropriate weight base layer is all you need to keep comfortable when active. Furthermore a good wind shirt can keep you comfortable in a light drizzle when a full rain shell would be too much. Windshirts can protect you from many biting insects. Finally, wind shirts also slow evaporation a bit (they are not perfectly breathable) which moderates flash-off cooling. Ideally you want slight air permeability to maximize breathability while still providing protection from convection cooling.
For several years I used a Montbell Tachyon wind shirt. It weighs less than two ounces and compresses down to around the size of a cliff bar. Unfortunately I lost it, so I am back to a 2012 ArcTeryx Squamish windshirt which is a bit heavier and is a bit larger. I have an amazing light, breathable, and pricy Gore R7 Trail Running rain shell that I sometimes use instead of a wind shirt when I am minimizing what I carry and/or when rain is likely. I have found the R7 fabric is approaching the breathability of a windshirt
Classic windshirts are ultra-light, ultra-breathable unlined nylon or polyester jackets which block the wind while being highly breathable. I am particularly fond of windshirts with hoods and full zippers such as the ArcTeryx Squamish, Patagonia Houdini, and Montane LightSpeed. There are also a number of nice pull over and/or hoodless windshirts such as the Montane JetStream, Outdoor Research Ion (Quantum model), or RAB Quantum Wind Top.
Softshells can be a good alternative to wind shirts. They tend to be more air permeable and more durable than a classic wind shirt. This makes them great for high energy activities and/or when engaged in activities that are hard on clothing like climbing. I like stretch woven soft shells for their breathable, great mobility, and that their air permeability is just about perfect for high output activities. I particularly liked the Black Diamond Alpine Start.
Some people use rain gear for wind protection. In warmer weather, most rain gear is not sufficiently breathable and tends to retain too much heat. They block the wind well, but the wearer will often overheat and get wet from sweat. A counter point is that if you either manage you activity level and/or are in cool weather rain shells can work.
There was a nice discussion about breathability, CFM and wind shirts windproofness, breathability, and air permeability on a BPL forum. When backpacking a CFM between 30-40 is considered optimal. When running or engaged in other high aerobic activities, 70-90 CFM is typically optimal. Most people can’t perceive wind if a material is CFM of <=5.
Low Cost: The cheapest solution is a cheap nylon windbreaker found at Target, Walmart, etc. Treat with DWR after-market product.