Flying and incorporeal creatures are not hampered by difficult terrain.
From the SRD. So the answer is slightly complex, difficult terrain can exist in the air but does not effect flying creatures.
Interesting little corner case.
If you were Levitating or Air Walking,
the Difficult Terrain would still affect.
Because you aren't actually fly-fly-ing.
Air Walk also has this line:
The creature may be subject to additional penalties in exceptionally strong or turbulent winds, such as loss of control over movement or physical damage from being buffeted about.
Flyers usually don't have this problem.
They do have to land if wind speeds get high enough (lost the exact quote).