That's true of everything that isn't used "raw" as it comes from the source. You spend energy to dig out coal. You spend energy converting crude oil into something you can burn in your vehicle. You spend energy growing and harvesting ethanol, and more converting the grain into ethanol.
I tend to agree about the use of wind power, which just isn't that "dense" an energy source, and is available in a usuable form, in only a few places. Nuclear power however would do the trick. Fusion power, if we can ever get it, would be better yet. Crude oil is really too valuable as chemical feedstock, in the long term, to be burning it all up now.
No. In those instances, the refined fuel still contains more energy than what was needed to process it.
Hydrogen, OTOH, will always require more energy for processing than what's obtainable when using it.