Nick,
I would imagine that in the helos you fly, the difference in power between into-wind and downwind hovering is negligable, but in the R22 (and, I assume, other light pistons) there is quite a marked increase in power required when your bum's to the breeze.
RavenX,
I also would assume that the disk itself is unaffected by wind direction. I've always put the difference in power down to the fact that if the wind's from the front, it is gently parted and ushered around the fuselage, therefore the disk needs to generate less forwardly-force and so can remain more horizontal hence generating more upwardly-force. With the wind from behind it catches in all the dirty rough bits of the fuselage and fights its way around, thus trying to push the whole shebang with it. So you need more rear cyclic to hold position and hence more power is required to fight gravity.
Obviously, the old soft shoe shuffle on the pedals will also add to the power required.