In the Lord of the Rings, book IV (in The Two Towers), Frodo and Sam encounter a storm coming from the east towards the Emyn Muil. Suddenly, they hear the screech of a – what is presumed to be – a flying Nazgul, seemingly riding on the storm. (Actually, in this case, no mention is made about the modality of travel for this particular Nazgul, although I would guess that if one was given wings, then they all would.)
The hurrying darkness, now gathering great speed, rushed up from the East and swallowed the sky. There was a dry splitting crack of thunder right overhead. Searing lightning smote down into the hills. Then came a blast of savage wind, and with it, mingling with its roar, there came a high shrill shriek. The hobbits had heard just such a cry far away in the Marish as they fled from Hobbiton, and even there in the woods of the Shire it had frozen their blood. Out here in the waste its terror was far greater: it pierced them with cold blades of horror and despair, stopping heart and breath. Sam fell flat on his face. Involuntarily Frodo loosed his hold and put his hands over his head and ears. He swayed, slipped, and slithered downwards with a wailing cry.
Was this storm a 'depiction' of the 'will power storm' of Sauron and his very thoughts being focused upon the area of the Emyn Muil?
Additionally, is it known or mentioned in any of Tolkien's writings, what errand that this particular Nazgul was undertaking? Maybe it is just mentioned to keep the mood/atmosphere going and to remind the readers of the dangers that are so very close at hand to Frodo and Sam?