The Mars Insight lander has now been on Mars for about a month and is starting to deploy the instruments it will be using to gather data about the interior of Mars. In the process, it has also collected some audio of the wind blowing on the surface of Mars. Since the air pressure on Mars is only about 1% of Earth (though the density is a little higher than that since the air is mostly heavier CO2 and it is very cold), sound waves don't propagate well. Still, the wind was able to be picked up by a couple of instruments on Insight, and you can hear both the actual sound and the sound adjusted up a couple of octaves to make it more audible in the video at the end of this post.
The above image shows a view of the deck of the Insight lander, with the reddish-orange hexagonal instrument in the front the seismometer that will help to gather information about the interior of Mars. The following gif shows the deployment of that seismometer (SEIS) on the surface of Mars on December 19, 2018. This was the first instrument deployed on the surface of Mars by the Insight lander.
Below is the video from JPL that has multiple versions of the sound of the Martian wind as well as a little intro on Insight as well. You can keep up with the Insight mission here: https://mars.nasa.gov/insight/ as well as subscribing to the JPL YouTube channel (where the video below originates from).