Generally speaking if you were ask farmers and hunter which way they suspect and remember the most wind coming from, chances are they will say something from the West. This will include winds coming from the Southwest and Northwest direction. Lots of farmers will report heavy southwest winds as fall nears.
Figuring out the most frequent wind from your location has a few variables involved including your actual location, altitude as well as well as bodies of water nearest you AND including any winds that are coming off of adjacent bodies of water and other locations. Time of year also has a big impact on directions of wind.
The other factor is that air in general wants to move from high pressure to low pressure so for example if a body of water heats up the air from the energy it holds, it will naturally move to a cooler spot(lower pressure)
One of the reasons you may suspect the wind coming the from the West is probably because the general trend of the jet stream over the US actually is
from West to East. Depending on the time of the year there will be some fluctuation and some deviation in latitude as well as some of the "humps" in the curve but the jet stream is notorious for carrying weather patterns from cities to their neighbors in the east. Here is a recently pulled photo of the jetstream on May 10th - if needed you should always be able to reference that. Now keep in mind this doesn't completely dictate your
weather but depending on where you are this may follow trend.
If you take a look here
you will actually find a live wind map
from TONS of weather stations across the country so in reality its going to change daily and in response to other weather but if you can superimpose your city using one of the supplied cities as a reference you could actually see where it is coming from and how it actually looks. You can double click to zoom in to your city on that live map as well.
So generally speaking the jet stream moves big weather west to east but major bodies of water have a big impact.
Really though, the easiest would be checking the wind direction for your local airport or news station - their vanes and anemometers are super accurate and are constantly updated.