It's not fun when it catches you unexpectedly....
Quite often wind effects on final can be predicted. At my home airfield the terrain causes some fairly vicious effects at low altitude on final if there's a crosswind from the West. If you know about it, a slightly higher / steeper approach path than normal keeps you out of most of it.
There is a technique which works well for dealing with windshear, especially on the approach into shorter strips where you need an accurate approach. With a bit of practice you can consistently touchdown just where you want regardless of what the wind does to you (within reason, of course).
First, forget about trying to fly a "standard" 3 degree approach.
Try instead to fly a slightly steeper approach, with full flaps, and with the power set midway between idle and full power. On most aircraft, that's around 1700 rpm. That gives you the maximum room for manouver for dealing with up / down drafts.
If you were flying a flat / high-powered approach, you don't have much in reserve to deal with a down draft. If it's violent enough, you'll be in the trees, especially if it's a short strip and you were mistakenly flying a slow and flat approach. Conversely with a glide approach, you can't correct downwards other than by slipping, and any up draft on final will cause you to land long.
I also find it much easier to fly the approach by holding an aiming point at a fixed position on the windshield using the elevators, and use the throttle to control the approach speed (as opposed to the "throttle for altitude, elevators for speed" technique which is normally taught. It's not actually any different if you analyse it, it's just easier for me). If you fix your aiming point, any updraft will cause your speed to rise while a downdraft will cause it to fall. Quick reactions will keep you on your chosen approach path.
Remember also that the wind is out to get you! 8 times out of 10 an updraft on final will be closely followed by a downdraft and vice versa which calls for a bit of anticipation. If you throttle back for the updraft, then relax, the downdraft will be there to mess things up for you!
As sensible says, it happens all the time in some situations. It never gets to be a whole lot of fun, but it can be quite manageable in the end!