Skyscrapers sway in the wind (Source here). Which direction, relative to the wind, do they sway, ignoring effects of other buildings nearby?
I can imagine wind from the North blowing a skyscraper's tip to the South, and then (because wind isn't a constant velocity) the tip swaying back towards center. With the right changes in velocity you could get some noticeable resonance, perhaps.
I could also imagine wind from the North causing resonant vortex shedding on the downwind side, inducing an East/West component to the motion. I sort-of suspect that this would be a more significant factor, and that most motion would be in this transverse direction, but I'm not sure how it'd be calculated or shown.