Here's some of my own historical data:
This is average mileage vs releative wind direction. 0 deg is a direct headwind, 90 deg is direct crosswind from the right, 180 deg is a direct tailwind, etc.
This was ~150 days worth of data, where I filtered out days with wind speeds <5 mph, and then rounded the relative direction to the nearest 45 deg.
There's obviously some noise, but generally it looks to me like it follows the "conventional" thinking that direct headwind is worse, direct tailwind is best. Of course, this plot doesn't take wind speed into account, or temperature, or rain, or traffic, or other things, etc...
I've also noticed that wind direction often correlates with temperature, i.e., a south wind usually accompanies higher temps; a north wind generally means colder. FYI, my morning commute is SSE, evening is NNW.