As a type of clean and renewable energy source, wind power is widely used. However, owing to the uncertainty of wind speed, it is essential to build an accurate forecasting model for large-scale wind power penetration. Numerical weather prediction (NWP) and data-driven modeling are two typical paradigms. NWP is usually unavailable or spatially insufficient. Data-driven modeling is an effective candidate. As to some newly-built wind farms, sufficient historical data is not available for training an accurate model, while some older wind farms may have long-term wind speed records. A question arises regarding whether the prediction model trained by data coming from older farms is also effective for a newly-built farm. In this paper, we propose an interesting trial of transferring the information obtained from data-rich farms to a newly-built farm. It is well known that deep learning can extract a high-level representation of raw data. We introduce deep neural networks, trained by data from data-rich farms, to extract wind speed patterns, and then finely tune the mapping with data coming from newly-built farms. In this way, the trained network transfers information from one farm to another. The experimental results show that prediction errors are significantly reduced using the proposed technique.