I have often found that I am able to to do an out of wind approach that has a far better approach angle than a directly into wind one. For example approaching to a particular wharf coming from one direction requires a verticle descent of some 100', where as approaching from over the ocean has an approach angle of almost 0. Even though the sea brezze is almost always behind me it still uses far less power if handled carefully. What I am saying is (as with all aspects of RW flying) flexability is the answer.
One word of caution though!! Approaching with a even moderate down winds with a heavy aircraft may see you not slowing as fast as you expect. Add to this a higher than normal rate of descent and you have the following situation. Hi ROD, Low-Nil forward IAS (Due to the tail wind), High power. You guessed it the result is Vortex Ring (sometimes called power setteling), and at low alt you may be unable to recover before the ground.
Also watch out for flap forward it can surprise you with how much cyclic is required to overcome it, and if you are flying an aircraft with limited Tail Rotor authority or one that is susceptible to LTE (as in the B206) it may start to weather cock and swap ends on you without you being able to do anything at all.