There are actually three kinds of wire used with wire feed welders. One is solid wire. As you said it needs to be used where there is no wind to blow the shielding gas away.
Another is flux core. No shielding gas used. With the flux it can be used on steel with some rust or scale. It penetrates more, and can be used where there is wind. So you might use this with a wire feed welder that is a bit unpowered for what you are welding. ie 110 volt welder. Or because the steel is not real clean.
The third type is dual shield, called that because it has some flux but is also meant to be used with shielding gas. Shielded by the flux and by the gas, dual shield. It has the advantages of having less spatter than flux core, can be used on steel that is not super clean, it can be used in spray mode with CO2 gas, gets good penetration.
Of course flux core and dual shield cost more that solid wire, but they may still be cheaper to use because of their other attributes.
Dan