I'm in the market for something like this too. I already have my anemometer and just need wind direction. I haven't decided on anything yet though.
Enjoying this thread!
Edit .. By the way, the reason I have not decided on a wind direction sensor is because frankly I haven't found one that is a reasonable value. Essentially these things are just molded plastic that is balanced correctly sitting on a swivel mount with (in a good one) an analog pot that connections to an A/D converter or an encoder that eventually creates NMEA data. So far I haven't found one that I thought was worth the money, you could probably build one with 20$us worth of electronics, so I can't see spending 1400+$us on one. If I ever find one that is a few hundred $us and outputs NMEA data I'll get it.