The Anemos were a legendary tribe of Jupiter Adepts. They were well known for amazing Psynergy powers, such as being able to see the future as well as the ability to fly. It is therefore probable that they were an advanced civilization from Weyard's ancient past similar to the Mercury-aligned Lemuria. Legends state that the Anemos' city used to be located near Contigo, where there is currently a large crater. Little is known of their fate, except for speculation and the stories of the Contigo. What remains of the Anemos city is a large ruin called Anemos Sanctum, located near the large crater.
According to the lore of Contigo, the Anemos suffered a great disaster. The event may be related to the seal placed on Alchemy. To preserve its culture, the Anemos performed an amazing feat: they lifted their city into the sky. Some believed that the city (specifically its rocky underside) became the moon.
Anemos in The Lost Age
The Anemos never feature directly in the Golden Sun series, the only remains of their civilization are the Contigo legends and the Anemos Sanctum, also located in Contigo. This has two important roles in The Lost Age, firstly the hieroglyphs found outside the ruins are used to build the Wings of Anemos, powerful artifacts that, through the use of Hover, allows Felix's party to lift their whole ship into the air. Secondly, the Anemos Sanctum contains a sealed inner room, only reachable after obtaining the Teleport Psynergy. This seal can only be broken by collecting every Djinni in the series, a feat only possible through the use of a Password transfer. Once this is done, the optional dungeon, Anemos Inner Sanctum can be explored. This is by far the most dangerous and most rewarding location in the entire series, thus making the Anemos (indirectly) very important from a gameplay perspective.
While this is never confirmed, it is strongly insinuated that Sheba is one of the Anemos. The reasoning is that she is a Jupiter Adept, who was found as a baby who, quite literally, fell from the sky. She wields Psynergy remarkably similar to Ivan, who is himself a descendant of the Anemos tribe. Thus is possible that she is an Anemos who fell from the Moon, which would provide a convenient explanation of where she came from, how she survived the fall, and why she arrived in Lalivero within fifteen years of the first lighting of the Elemental Lighthouses, although it must be stressed that this is simply speculation.
The word "anemos" means "wind" in Greek, and that the Anemoi were the four principal wind spirits in Greek Myth.