The most important thing about the "Ode to the West Wind" is, of course, that it’s an ode. An ode is a lyric poem that has a complicated formal structure, a highfalutin’ tone, and a grand philosophical subject. If you read a short lyric poem and come away feeling a little patronized, chances that it’s an ode. Odes are an ancient form of poetry that first appeared in classical Greek; they were extremely popular among the Romantic poets. Wordsworth, Coleridge, Keats, and Shelley all wrote odes that are still among the most famous poems in the English language.
There are many different ways to classify the types of odes, which we won’t get into here, because they’re not that useful unless you plan to study odes for the rest of your life. The point is that, by titling the poem "Ode to the West Wind," Shelley is signaling to us as readers that he’s going to pull out all the stops. We know that we’ll need to look closely at the rhyme scheme, the rhythm, the stanza groupings, and all the little details of arrangement. We know that this is going to be a very serious poem. And we know that it’s going to deal with some of the Big Issues in life, art, and philosophy. Basically, calling the poem an "Ode" is like putting "Black Tie Only" on a wedding invitation – things are going to be formal perhaps even to the point of awkwardness.
Another feature of odes is that they tend to have two major shifts in tone, because they’re often divided into three general sections. (The sections are called the "strophe," "antistrophe," and "epode," but you probably don’t need to remember that.) The first section establishes one point; the second section establishes a contrary point, and the end of the poem brings them both together. Not every ode fits this pattern perfectly, but it works pretty well for "Ode to the West Wind," which shifts from second-person to first-person at the beginning of Canto IV and then moves on to consider the West Wind and speaker together in Canto V.
Oh, and what about the "West Wind" part of the title? Well, by writing an ode to a force of Nature, Shelley hints that he’s going to be considering the power of the natural world. We might even guess that he’s going to contrast what the natural world can do with what the poet can do. Why the West Wind? Well, think about what’s to the west of Europe in the nineteenth century (the answer is, of course, America) and what it might symbolize (revolution, freedom, new ideas, etc.).