Stephen avenue in Calgary has some structures that were built to prevent wind gusts between buildings[1]. The street has a lot of foot traffic and that area became windy after the two skyscrapers on either side were constructed. Not sure about the cost to the city, but they're interesting to look at and they seem to achieve their goal.

[1] https://www.google.ca/maps/@51.0456499,-114.0704853,3a,75y,7...