For an easy-to-build wind vane using simple materials, consult with childrens' educational resources such as PBS or Scholastic, both of which offer wind vane designs on their Web sites. PBS's "Rough Science" series suggests using a plastic pot or container for your wind vane base and drilling a hole through it with a simple pencil. Make the wind vane's arrows out of heavy-stock paper or card. Use a drinking straw as the wind vane's cross-piece and mount it on a pencil. A simple pin, driven into the pencil's eraser, will allow the drinking straw to rotate freely.
Scholastic.com's "Weather Watch" series suggests a similar wind vane. For the rotating joint, Scholastic recommends placing a loose-fitting pen cap over a pencil.
For a more durable wind vane, "Mother Earth News" magazine publishes plans for a wooden whirligig-style wind vane among its online archives. The whirligig is made of lightweight plywood, glue and a bit of soap, which is used as a lubricant to keep the parts moving freely. The whirligig can be made in two different playful designs: the washerwoman and the wood-chopper. A "washerwoman" wind vane features the wooden profile of a woman bent over a tub; as the wind blows the wind vane's fan, she raises and lowers. The wood-chopper uses the same principle; in this case, his profile reveals a man chopping wood, the axe moving up and down with the wind.
For a simple wind vane that can endure rough weather, use a sheet of plywood or plastic, a dowel or other pole, a bicycle or skate wheel and plastic or metal letters (N, E, W and S). If you use any wooden elements, be sure to coat them with protective varnish or paint, following the manufacturer's directions for a long-lasting finish appropriate for the outdoors.
Cut an arrow from the wood or plastic, stylizing the form to your tastes. Mount the wheel on the dowel or pole at a pleasing height, leaving it free to spin and attach the "arrow" to the wheel.