"The captain will always prevail in a request for a more into-wind runway but at a place like Denver, Chicago, Kennedy, Toronto (especially), and others it will almost always cost a 30 to 60 minute delay or a very long hold on arrival and fuel is always an issue."
So right. One afternoon at LGA I was overweight for the runway in use by the time they put extra pax onboard and we taxiied, so I requested a different runway from the tower. As best I remember, the tower operator's reply went something like this:
"Sure, no problem. But we'll have to turn the flow around for the entire New York metro area. Expect a four-hour delay."
I burned down for about 40 minutes and departed on the runway in use.