Windy City is located about 200 meters south of Atlas Cove, in the northwest portion of Heard Island. It comes from a fin of Drygalski Formation rocks, which are a mix of glacial sediments and volcanics, and is mostly surrounded by sand and gravel plains.
Looking closely at the outcrop, there are a number of interesting things to observe. First, there are the striking roughly-horizontal marks, which are particularly evident toward the base of the outcrop. Second, the outcrop is made of massive, fine-grained jointed rocks with few vesicles. Third, there are quite a few fractures within the rock, with discolorations along many of the cracks.
All of these observations combine into a remarkable tale of how Windy City has been formed. The massive, fine-grained, and jointed appearance leads to the conclusion that we are looking at a volcanic outcrop, rather than glacial sediments. Fracturing and discoloration have been brought on by weathering from the very wet, near-freezing environment. Finally, the wind has been a huge factor! Sand, gravel, snow, and graupel (ice pellets) have all been blasted against the side of this outcrop, primarily from the west (at right). On Heard Island, a 9 m/s wind is typical, with maximum recorded gusts exceeding 50 m/s on three days during the 1948-1954 period. The high winds sandblast the outcrop, leading to the horizontal striations.
Here are a few wider-angle shots for context, and with better light than I ended up with for the gigapan.
I also managed a close-up shot of one of the pieces of float.
 Thost, D., Allison, I. “The climate of Heard Island” in Heard Island: Southern Ocean Sentinel, ed by K. Green and E. Woehler. Surrey Beatty & Sons, Chipping Norton 2005, p. 52-68.