Well, it's up on top of a pole or pedestal of some sort,
so it has some gravitational potential energy relative to
the ground. In other words, if it somehow became detached
from its structure and fell to the ground, it would make quite
an energetic splat when it got there.
Also, the windmill is at the temperature of the air around it,
which is far from Absolute Zero, so the windmill holds a lot of
thermal (heat) energy.
Then I guess there's the matter of the chemical energy in the
molecules of the material that the windmill is made of, and the
nuclear energy in its atoms.
