Especially common, in the wind sense, in the Straits of Magellan and the Aleutians. They also happen along Greenland, but are (according to Wikipedia) called piteraq there. The polar part is important because these are specifically katabatic winds. The word's origin is unknown, first citation (to British seamen) is from c. 1840.
"Gusting williwaw winds were already pounding the thin shelters, screaming through every tiny crack between the two sections mated to form a fragile barrier against the environment."
—Unknown, Arctic Fire---L.