Many great replies on here like Stu's (always has good info) and Gunni (not familiar with him). I thought I'd throw in some more.
For those who do 5-30+ day sails, 25-30 is no sweat but we try to avoid it when we can. Over 30 we really try to avoid it. On my trip to Marquesas Islands this month I was told I was sailing in a zone that was about to get 37 knots of wind and heavy rain. The famous, or infamous, depending on who you talk to, weather router Chris Parker said to go north to 7.4 lat. I was at 8.5 and really liking it there but 37 knots of wind is no fun, especially with the storms that come with it, so I went south instead of north, to 10.2. My reasoning for going south was so that I would avoid the big swell of the storms in the zone. It didn't make much sense to me to be on the downwind side of the blow.
It is the waves you have to worry about, not the wind. The wind can be annoying and some boats handle the stronger winds better than others, but it is the waves that throw the boat around and make things dangerous. In the open ocean the waves aren't always matching the wind either.
In seas like the Caribbean and Gulf of Mexico you don't have ocean swells much, but just wind waves. Wind waves are steep and short period and can be uncomfortable, but always following the wind or very close to it. Ocean swells are from a weather system farther away so they don't match the wind direction (I guess one could say they can but then they are combined with the wind waves and therefore still steep and just considered wind waves). You will find in the open oceans that you will have wind waves from one direction, maybe a steep swell 30 degress off that (still steep because the wind is still keeping them up) and a rolling swell from another 40 degrees off the wind.
Another thing to keep in mind, is the lats. If you stay between 25 and 25, you aren't going to see anything over 35 knots of wind (for the most part) unless you are caught in a tropical storm. 35 knots of wind is not a killer but not fun. The farther you get out of that range, the stronger the winds can get, but also more variable (trade winds are fairly stable). In otherwords, you will get a lot of low winds but if you are in a calm in the higher lats, be expecting strong winds within a day or two. Those who sail in the high lats and cross oceans in them should expect 60 knots of wind on occasions. 60 knots can be a killer if the boat, captain and crew are not ready for it.
So if you want to do some serious open ocean sailing, get comfortable with sailing in 25-35 knots of apparent wind and learn what to do if you experience the 60 knots of wind, but always look for winds under 20 as that is more enjoyable -- unless you sail a very heavy boat.
Speaking of enjoyable -- things are different when sailing a few hours vrs a few days. What you find fun in a 3 hour sail may not be so fun in a 3 day sail, especially longer like a 8 day sail. Most people love to ride roller coasters, but that is because they are only on them for a min or two. It would be torture to be on one for 2 days.