In the US it is required by law to be trained in cross wind landings.
For large aircraft that require a type rating...
§61.31 Type rating requirements, additional training, and authorization requirements...
...(2) Received a logbook endorsement from an authorized instructor who has found the person proficient in the operation of the aircraft and its systems.
(i) Normal and crosswind takeoffs and landings;
(ii) Wheel landings (unless the manufacturer has recommended against such landings); and
(iii) Go-around procedures.
On a side note cross wind landings are very important since not all airports have 2 runway options. Some large commercial airports will have 2 crossing runways which will allow you to pick the best one for the days winds (they are usually built to the general prevailing winds in the area). This does not mean there will be no cross wind but it does allow you to mitigate it. Smaller airports may only have a single runway (or 2 parallel runways) which means you have no method of mitigation for the crosswind. There are even some big airports that are only single runway due to space or geographic restrictions.
It should also be noted that airplanes them selves have a demonstrated cross wind component to which they are tested to be safe to land in a cross wind of said velocity. This is not necessary a maximum (although it can be) but it is often used as such.
As for how often this happens that is largely a factor of the airport and the local weather. For example I used to fly out of KPNE they have 2 runway options (6-24 and 15-33) they would use what ever was the best runway for the wind that day unless you needed the precision approach on 24. This made landing there easy (150 x 5000 or 7000 helped as well) as there was never really more than a 15 degree crosswind. I now fly out of KDYL which is a single runway airstrip that almost always has a crosswind, really keeps you on your toes.
Cross wind approaches are perfectly safe and are not out of the ordinary. I have seen some people mistake the phrase Uncoordinated Flight as meaning a sideslipped crosswind landing is unsafe which is incorrect. The plane can be uncoordinated because it is side slipping to the landing which is done deliberately by the pilot.