"Electricity generation and consumption must be balanced across the entire grid, because energy is consumed almost immediately after it is produced. A large failure in one part of the grid - unless quickly compensated for - can cause current to re-route itself to flow from the remaining generators to consumers over transmission lines of insufficient capacity, causing further failures. One downside to a widely connected grid is thus the possibility of cascading failure and widespread power outage." (source)
This means that if the wind stops blowing and a wind farm stops producing electricity, some other source of electricity has to pick up the slack.
This problem can be mitigated if you have lots of wind farms spread over a large geographical area, so that when the wind doesn't blow somewhere, chances are that it blows somewhere else. This helps, but doesn't completely solve the problem. Remember that the grid has to balance supply and demand at all times, so if bad luck has it that there's no or little wind over most of your wind farms on the same day, you still have a problem. So what should we do?