Wind speed forecasting is critical for a variety of engineering tasks, such as wind energy harvesting, scheduling of a wind power system, and dynamic control of structures (e.g., wind turbine, bridge, and building). Wind speed, which has characteristics of random, nonlinear and uncertainty, is difficult to forecast. Nowadays, machine learning approaches (generalized regression neural network (GRNN), back propagation neural network (BPNN), and extreme learning machine (ELM)) are widely used for wind speed forecasting. In this study, two schemes are proposed to improve the forecasting performance of machine learning approaches. One is that optimization algorithms, i.e., cross validation (CV), genetic algorithm (GA), and particle swarm optimization (PSO), are used to automatically find the optimal model parameters. The other is that the combination of different machine learning methods is proposed by finite mixture (FM) method. Specifically, CV-GRNN, GA-BPNN, PSO-ELM belong to optimization algorithm-assisted machine learning approaches, and FM is a hybrid machine learning approach consisting of GRNN, BPNN, and ELM. The effectiveness of these machine learning methods in wind speed forecasting are fully investigated by one-year field monitoring data, and their performance is comprehensively compared.