Though the phrase "O wild West Wind" contains only four words, it serves as an example of three figures of speech, each of which contributes to the tone of "Ode to the West Wind": apostrophe, alliteration, and ecphonesis.
Literary apostrophe occurs when the speaker of a poem address a person who is not present or an object or idea. In this poem, the latter occurs. The speaker is in awe of the transformative powers of the West Wind. He addresses the entirety of his poem to the West Wind, begging it to hear his pleas. Of course, he doesn't actually expect the wind to answer him, which increases the tension and contributes to a desperate tone.
Alliteration is the repetition of the same consonant sound. In this phrase, you hear the w sound repeated in quick succession: O wild West Wind. That repetition creates a mournful and hollow tone.
The line also arguably serves as an example of ecphonesis, which is an emotional exclamation. Though the exclamation is not completed until thirteen lines later ("hear, oh hear!"), it allows the pleading tone of the poem to be established from the beginning.
This is a great example of Shelley's mastery of poetic devices and form. In only a few words, he is able to utilize various methods for crafting a pleading and desperate tone.