1.Flung to the breeze means left to random chance, without purpose or direction.
2.On went means he or she put on. We use this kind of consturction for lyrical effect. In came the new, out went the old. Up rose freedom, down fell tyranny.
3. Sorry, I don't know that one. There is obviously some sort of verbal irony at work here, but I don't understand the reference.
4. This means "but that (the thing we were discussing previously) was not among (included with the gifts) them (the gifts brought by the Magi).
5. You had me going means that you had me excited, or frightened, or worried, etc. in anticipation of an unknown thing. This saying is usually used when someone has had some kind of trick or joke played on them.