Why am I not burned by a strong wind? So I was thinking... If heat I feel is just lots of particles going wild and transferring their energy to other bodies, why am I not burned by the wind?
When I thought about it more I figured out that wind usually carries some humidity, and since particles of liquid are moving same speed as the wind, they are basically static relative to each other, so no energy is transferred between them (wind and water particles). And if that water sticks to my skin and wind blows, it'll evaporate thus taking energy from my skin and make me feel cold.
Thing is, I don't think that's really the case but even if it is, if I somehow dry out the wind, will it burn me if it's strong enough? And winds can reach some pretty high velocities (though I must admit I'm not sure if they are comparable to movement of atoms in warm bodies etc...).
So. Bottom line. Can I be burned by wind in some perfect scenario?
 A: "Can I be burned by wind in some perfect scenario?"
Drag Effects
Drag Effects are the main source of the effect you are after in your primary question.
There is always an effect of heat from the wind drag, but in most circumstances the heat transfer is a net loss to your skin due to moisture evaporation and the air temperature being below your body temperature. 
See also:
http://en.wikipedia.org/wiki/Drag_%28physics%29
http://en.wikipedia.org/wiki/Parasitic_drag#Skin_friction
Moisture Effects
You mention the effect of moisture in the air, keep in mind that it condensing on you would heat you as it loses energy converting from gas to liquid state, and this would rarely happen, unless your skin is very dry and the air very moist (hot and humid days are no fun, are they?), or unless you're exposed to steam (hence the more terrible effects of steam burns versus boiling water burns.) It's better to consider your wind where the air-moisture to skin-moisture balance is such that no energy is gained or lost. Since stronger wind would increase the evaporation rate, that balance would vary based on the wind speed, so consider that at higher speeds your skin would need to be very dry or the air to be very moist to maintain that balance.
See also: 
http://en.wikipedia.org/wiki/Enthalpy_of_vaporization
The Bounds of Reason
Since terminal velocity is 120 mph, or about 54 m/s, it is unlikely you would ever be exposed to relative wind very much faster than that, since it would pick you up and carry you along with it. Also, your body needs moisture for you to live, so for it to become very dry, you would have to be dead. Altogether, I would say for you to ever feel a net positive heating from wind would be very rare.
However, in conclusion, yes, you can be burned by the wind.
A: The other answers address your question quite well.  Just as a reminder of the ability to be burned by a strong enough wind, the image below shows the Chelyabinsk meteor during entry into Earth's atmosphere last year over Russia. :)

A: 
If heat I feel is just lots of particles going wild and transferring their energy to other bodies, why am I not burned by the wind?

I think the most direct answer to your question is that heat is the random movement of molecules, with speeds on the order of $v_{rms} = \sqrt{\frac{3RT}{m}}$ which is in the hundreds of meters/second range, whereas the layer of air surrounding you moves in a not-quite random way (there is a boundary layer, for example), and not usually as fast.
If we think of friction, on the other hand, I think the problem is that while friction /drag will heat you up and the air surrounding you, the stream of air is also very efficient at removing heat from you, so depending on the temperature of the wind, the two effects will partially cancel each other out.
Now, when you start getting to transonic speeds, the (adiabatic?) compression of the air in front of you will heat it up significantly (I believe this is why the SR-71 was made out of titanium). At hypersonic speeds, this can give you a nasty case of plasmification. 
A: Air molecules $(\require{mhchem}\ce{N2_}$ and $\ce{O_2})$ have an average speed of around $500\text{ m/s}$, varying some depending on the temperature. This means that a nice $5\text{ m/s}$ wind is a hundred times slower, and the energy represented by wind is 10,000 times smaller than the thermal energy. Therefore, wind does not have considerably more energy than calm air and will not burn you.
Very high-speed winds, such as those in tornadoes, hurricanes, or the wind you would experience while sky-diving, are still only around $50\text{ m/s}$, so the energy density in the wind is still just 1% of the thermal energy density. Likewise, the ram pressure the air exerts on you would be small compared to the homogenous atmospheric pressure, so no large effects should be observed. Thus, one would not expect even high winds to burn you.
The transfer of heat between you and the air is fairly complicated, and does not depend solely on the energy density of the air. Wind usually makes you feel colder, in fact. Heat travels across gradients of temperature. The air right next to your skin will be at the same temperature as your skin, but the air a small distance away will be at the ambient temperature. This creates a gradient of temperature, and heat travels across the gradient. When there is wind, the difference in temperature between your skin and the ambient air is the same, but the temperature falls down to the ambient temperature a shorter distance from your skin. This increases the temperature gradient, so that you cool down faster with a wind.
Humidity also plays a role; heat transfer is not very simple. However, I think this suffices to explain why we should not expect wind to burn you. You will burn up if you travel through the air at extremely-high velocity. This happens to meteors and other astronomical objects moving at orbital velocities ($\sim10^4\text{ m/s}$) when they enter Earth's atmosphere. It is also relevant for fast-moving aircraft, which do experience winds as fast as the thermal velocities of the molecules in the air. I've heard it said that the SR-71 Blackbird, the fastest airplane ever built, heated up so much due to aerodynamic heating that it had to be built to be loose at low speed so that the parts would fit together at top speed. See "Aerodynamic heating" for more.
A: it is possible to be  burnt by a combination of very warm air (~ 46°c or maybe lower ) and a moderate fan. People in ill health, drunk or unconcious are at most risk. Eg. http://www.sciencedirect.com/science/article/pii/S0003497500013229
Edit: more thoughts. I use these "forced air warming" devices every day at work. The other situation that is assocated with burns is if the hosing delivering the warm air is in contact with an unconscious patient this may lead to a burn - so this is a conduction burn, not a convection burn - but the heat is delivered via conduction. To tie this back to the OP - if a hot air wind is heating a highly conductive surface then contact with this surface may lead to a burn more readily - effectively this conductive surface concentrates the heat. Also tissue that is compressed is more more vulnerable to burns - so if the hot surface is pressed against the skin this speeds up the burning because the body part is unable to carry the heat away with increased blood flow.
A: Wind has considerably more energy than calm air ( molecules at around 500 m/s). We can add the speed of wind to that, plus the kinetic and thermal energy to arrive at the total energy of the wind.
A cold wind will cool you off at regular speeds we encounter on Earth, by removing the warm air close to your skin...we call it windchill.
A hot air blowing at high speed will burn you due to thermal exchange and friction with the air molecules plus the other particles in the air, like dust, water wapor etc., but probably your skin will fall apart before that happens, as in a dust/sand storm.
A supersonic wind (as in supersonic airplanes or free fall from high altitude), artificial made in a test tunnel, will burn you due to friction and the pressure wave, if you would be able to sustain such wind speed, the reality is that your body will fall apart before that.
In another scenario, encountering an atomic bomb wind close to the discharge (due to many components of that, like radiation, high velocity wind, air pressure, EMP...), or the solar "wind" will just pulverize you to kingdom come :)
