Microsoft's Hacking STEM website offers a detailed project guide for building model windmills and wind turbines. Not only will students build the windmills, they'll also capture data generated by their windmills. The data is captured in real-time through the use of Arduino and the Data Streamer add-in for Excel. Students then analyze the data to evaluate the effectiveness of their windmill and wind turbine designs.
Microsoft's Hacking STEM windmill activity is great if you have the time and resources required to do it. If you don't and you'd like a little less in-depth windmill project, take a look at Instructables. There you will find dozens of windmill and wind turbine projects ranging from relatively simple cardboard creations to full-fledged turbines capable of powering appliances.
Finally, if you haven't seen the TED video of William Kamkwamba sharing his story of building a windmill, you need to watch it. It's the basis of the book The Boy Who Harnessed the Wind.