Recent X-ray observations of AGN are revealing the widespread existence of fast and powerful outflows of baryonic material with up to mildly relativistic velocities, seen as variable, blue-shifted absorption lines of ionized heavy elements. Sometimes referred to as ultra-fast outflows, they are plausibly interpreted as winds driven by the accretion disk, and their interaction with their environment may be the key cause of known scaling relations between the properties of supermassive black holes and their host galaxies. Such feedback effects on the external medium entail the formation of shocks, in addition to possible internal shocks due to inhomogeneities within the outflow. We discuss the possibility that these shocks can accelerate electrons and hadrons that generate nonthermal emission in the radio, X-ray and gamma-ray bands that may be detectable. Besides being a potentially new type of nonthermal source, observations of such phenomena may provide unique insight into the physical mechanisms of the formation of AGN winds, as well as the consequent feedback processes. We also touch upon their possible relevance to UHECRs and high-energy neutrinos.