dlloyd basically has it right. If your compass calibration isn't excellent, you'll have issues in both magnitude and direction of the winds aloft. You can compare on the ground against either a known good location (compass rose), or on the roll by using GPS ground track. When you taxi straight ahead, track and heading should be the same.
Similarly, if your IAS indication isn't actually your IAS, you can also see both magnitude and direction issues. Issues of this nature are usually due to the pitot/static design, and more often than not it's the static port not really being static in flight (although it can be the pitot as well).