Sea Breeze

During the day, a coastline will experience a sea breeze. Because the air over the land heats faster, it rises and causes the cool air over the ocean to blow inland.

Land Breeze

During the night along the coast the temperature of the land can become cooler than that of the ocean. This causes a breeze to blow towards the ocean.

These two examples are common and show clearly how wind is formed at ground level. However, this situation happens all over the planet even when a large body of water is not present. The ground will heat at different rates in a given area due to many circumstances.

Summary
To say that the Sun alone causes wind would be untrue. In our example, the sun created heat, which then rose. As this air rises, surrounding cooler air will rush in to take its place. This rush of air to fill space is wind.

Other factors play a part in influencing the wind, such as the rotation of the Earth, location of mountains, latitude, elevation and many others. The difference however is that surface heat is a major player. Surface heat will not completely determine the direction of wind flow, but it will be very influential.