Wind actions are crucial for the safety and sustainability of structures. The wind climate of Europe and many other parts of the world is dominated by synoptic extra-tropical cyclones and mesoscale thunderstorms. Thunderstorms are frequent events that cause wind speeds and damage often greater than those of cyclones. This paper describes a wide research activity including an extensive monitoring network, an unprecedented database of transient wind speed recordings, a broad spectrum of numerical tools for elaborating data and extracting their statistical properties relevant to the wind loading of structures, the development of wind tunnel tests and CFD simulations, investigations on weather scenarios and damage surveys aiming to complete the information provided by field measurements. Based on these resources, a new generation of wind loading models is being developed – response spectrum technique, time-domain integration, evolutionary spectral density - robustly coherent with measured data and intrinsically coherent with each other. These studies are being carried out in the framework of the project THUNDERR, funded by the European Research Council (ERC) with an Advanced Grant 2016 in order to produce outcomes physically correct, transferable to design and standards, suitable to modify the current wind loading format and make constructions wind-safer and cost-efficient.