As mentioned before it's really important to shut down with a crosswind so the blades won't be able to sail up and hit the tail. In flight you won't have many problems apart from the turbulence of course and the lower groundspeed. The R-22 has the limitations as stated earlier. Most other helicopters only have a demonstrated number which is not in the limitations part of the manual. The ability to always land upwind is one of the advantages of a helicopter of course.