In dry CO where I hike, a windbreaker does a lot to trap heat and/or cut down on wind-burn if it's very cold. With such low humidity, there's not a lot of water to transmit your heat away, so convective loss is a bigger deal.
I have a few wind jackets with varying degrees of breathability and weather resistance, so I usually go for the most breathability that I think I can get away with. If I'm running, I'll go with the most breathable, since I'm never very far from home or a car. For backpacking, I usually bring the more weather resistant since my actual rain gear is a poncho/tarp.
The poncho setup is a great weight saver, until you get trapped under it during a rain and you need to water the bushes or some other camp chore. A fairly weather resistant wind jacket can keep you dry for only a few minutes, so I choreograph in my mind what I need to get done while I'm in the rain.
Yes, I get a little wet, but having a jacket in an easily accessible pocket that I can ball up to the size of an orange when it gets too warm is worth the ounces. That's another thing about CO; the weather changes within minutes so being able to don/doff a jacket on the move is very nice.