Sounds like everybody has their own opinion on how to cast when it's windy! I, of course, have my own, which is the opposite of what some have posted here.
Personally, I cast best in the wind when I'm casting with it and my backcast is going into it. I don't know exactly why, but it must be something in my casting stroke. In the Bahamas in December I was casting close to 100 feet with the strong winds without any trouble. I was honestly just having fun casting because I was putting the fly out longer distances than I ever have been able to before. When I tried to cast into the wind, I didn't do very well in comparison.
In general though, one rule that I think is almost always true is that you need to keep your casting hand on the downwind side of your body when casting across the wind. Otherwise you'll constantly be fighting to keep the line from blowing into your head. I said "almost always" because it depends on the strength of the wind, the caster's skills, the casting distance, and a bunch of other variables!
I would also say that you should really try to punch the cast into the wind, especially when it's time to lay the line on the water. Bring your hand down towards the water as you finish your casting stroke and finish it quickly, rather than letting the fly gently plunk down on the water. You want the line to kind of whip down on the water so it doesn't blow your fly around. If you're casting with the wind you don't need to worry about this as much since the wind will naturally straighten your line/leader.
I took up float tubing this year, and all of this went out the window. I can't get my casting stroke right yet in the float tube when it's windy!