I'm not sure about the net but in print form, Alan Watts' 'Wind Pilot' is exactly that, listing direction and strengths for a variety of locations for the different seasons. Unfortunately its currently out of print, but secondhand versions pop-up from time to time. Amazon (Bibliofind) often has a copy.
Try www.wetterzentrale.de, best site I've seen for weather information, they have an archive with weather going back some time and lots of other intersting stuff, charts etc. One problem its in german, but you can see the charts etc, UKHO, USAF etc.