Mostly I've played ocean golf at Bandon Dunes, which is a bit different than true Scottish links golf. But the wind blows and the ground is firm, and I suspect it yields a similar compliment of golf shots.
As a result of yearly visits to Bandon, plus a couple trips to Scotland, I developed what I consider an additional set of low trajectory "punch" shots for controlling the ball in the wind. I tend to be more of a creative type of golfer, who doesn't enjoy hitting shots the same way every time. When I am simply playing, and not wrapped up in swing thoughts, I look at the shot presented to me, see a picture of the ideal shape and trajectory, and then try to execute that shot. I can't hit low fades, except with woods; in that case I have to take the second best solution.
Windy seashore golf changes every day, and offers a greater spectrum of shot shapes and trajectory. Good courses also yield a more diverse set of stances to play from. In short, it's a more complicated game. I had a "eureka" moment at Dornoch in 1998 when I realized that.
With that said, I think the greatest thrill of links golf is being near the ocean, and just appreciating the awe and beauty of it. A natural oceanside environment fills your senses - the smell, the sights, the sounds.