Keeping comfortable when you are outdoors and the weather is unpleasant, or just unreliable, is mainly about maintaining a "micro climate" around your body. Keeping the wind out is half of the equation (insulation is the other half). Adding a windproof layer, even if you only have a tee shirt underneath, makes a huge difference when the wind gets up or you are moving quickly, creating your own air movement. Windproof jackets don't replace a waterproof outer shell, but will usually be much more comfortable due to being more breathable than even the best waterproof fabrics and can often be tougher, due to not having a delicate waterproof membrane.
Windproof shells come in a wide variety types with some being super light and compact that can be carried in a pocket while on a run or bike ride. Others are more substantial and are made to be worn all day while out in the hills and only being swapped for a fully waterproof shell jacket when the rain becomes too heavy or persistent for them to cope.
Soft shell Jackets - Softshells can be thought of a Windproof-Plus because they are usually designed with some sort of windproofing fabric or layer, but with the addition of other fabrics. These fabrics can be designed to increase the insulation level, such as a fleece inside layer, or to keep moisture caused by high levels of activity (i.e. sweat) away from body without allowing it to evaporate too quickly, which could cause excessive cooling. Some high-performance Softshells also offer enhanced levels of water repellency to stave off the need for a waterproof jacket that will usually be less breathable as well as more easily damaged.