There are, of course ways around this problem. But it's not always practical or even desireable to cart a separate recording unit and dead cat mic with you when all you want to do is make a quick one-man video up the side of a windy mountain
Although it's a common problem, it's one that can be solved easier than you may think. This video shows how to hack your video camera in seconds to vastly reduce wind-noise. And it's not expensive or time consuming either - this hack costs just pennies and takes just seconds to do.
So if you are having trouble with wind-noise, check out the following video. For what the hack costs in terms of time effort & money (i.e. negligible - It's well worth trying.