Watch the following video to see the currents from a lit candle. Even though they can't be seen with the naked eye, they do cast a shadow.

Convection currents are the main cause of our wind and weather patterns. The heat from the sun is absorbed by the ground, and this heats the air. The heating is usually uneven causing hot-spots and cool-spots. This will tend to make areas of high and low pressure that create wind and (along with humidity in the air) weather systems.