Windmills have been used for the past 2000 years to harness the energy of the wind to mill grain and pump water (MOCs by Darthtuner and MdrnMrvls, respectively).
In more recent years, wind power has been used to generate electricity. The idea is quite simple: wind turns the blades of the windmill, which spins a turbine, which generates electricity. Wind power generation is very efficient and completely renewable, though there is a large capital investment to build wind farms. Currently wind supplies about 4% of electricity used in the US, though proponents say that it could supply up to 20% by the year 2030. Several LEGO builders have made turbines, such as this micro version by Pbpancho,
this minifig scale installation by Matija,
and a three meter high version by Engineers Without Borders.
Here's a great MOC of a turbine transport by Marek Markiewicz.