Next time, check The Weather Channel before you hit the links ;-)
It does stink going out and facing headwinds galore during a RG, but...in defense of how they're set up, wind conditions can easily change for real golfers based on tee-times, so in a sense, it makes sense that the wind directions and speeds would be different for players in any tournament (not the set "heavy/moderate/low" setting).
But - on the other hand, I would like to see winds that coincide with the direction of the hole. If you have a hole going North-South with a huge headwind and the next hole goes South-North parallel to the previous hole, there is virtually no way there should be a headwind again.
An example of what I mean would be 6 and 7 or 8 and 9 at Oakmont. In each case, the second hole back-tracks from the previous, so if 6 has a headwind, 7 should be a tail wind. I think THIS would add a bit more to the realism of the game, rather than wonder if you're going to face headwinds for 7 of 9 holes on a course.
Of course, this means that you're going to see a LOT of the same wind directions on a course like St. Andrews...but it is the reality of the course!