I'd add to backpacker's reply. Beware coastal airfields where the prevailing wind is off-shore, but the sea-breeze is producing an on-shore wind at ground level.
Often gives a shear layer at low altitude which is more of a concern on departure than approach, as the headwind turns to a tailwind with consequent loss of IAS. On approach you may suddenly become hot due to the reverse effect.
Also generally more noticeable at night due to reduced vertical motion and mixing (a 30-40knot wind at 1000' might turn to 5-10 knots at GL), though the shear is likely to be more progressive and easily handled.