__________ the wind, it was getting stronger, and I was getting colder.

'Speaking of' is a discourse marker used to introduce or elaborate on a topic that has just been mentioned. It naturally fits before 'the wind' to introduce wind as the subject of discussion. 'To begin with' and 'First of all' are used to start a list of points, and 'By the way' introduces an unrelated tangent — none of which work syntactically with the noun phrase 'the wind' followed by a continuation of description.