Although this would be a good learning experience, I would strongly suggest reading up on electricity as much as possible so you have a basic understanding of how things work. It could be really difficult to do something if you weren't even sure what you were seeing when you got a result or how to even know if you were.
Perhaps those experimenters kits for kids would be a good start? They would give you some hands on knowledge and grounding through following the experiments before you tried putting together anything of your own. If you don't understand the basics of Ohms law for instance, you will have a lot of trouble getting a result from anything.
Wind, as mentioned above, can be a difficult thing to generate from. It's ok if you just want to make power for a few seconds but spinning a fan on a little DC motor using something like compressed air but if you want to go hang something out in the breeze, you better live in a very windy place.
I can't think of anything you could build that didn't have blades at least a couple of feet long that would give you any indication of power when just placed outside in normal wind.
The DC scooter type motors that are 24V and 200w+ are about the best small motors I know of. You could always drive them with a drill to make power as a proof of concept experiment. Other ones are the little motors out of Microwave ovens that drive the turn table but they can make very high voltages that could give you a nasty bite.
I think some reading up and a kit would be your best way to start learning.
Unlike actual electronics, electrics is pretty straight forward.... most of the time.
It is well worth learning about though.