B737 FLT CREW EXECUTES GAR AT 800 FT DURING APCH TO RWY 8 AT BUR AFTER RECEIVING WINDSHEAR ALERT.

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ON APCH INTO BUR (I WAS THE PF). WE WERE GIVEN CLRNC FOR A VISUAL APCH TO RWY 8. THE WX WAS CLR WITH 10 MI VISIBILITY. ATC INFORMED US (WHILE ON A VECTOR) THAT THERE WERE RPTS OF RAPIDLY SHIFTING WIND DIRECTIONS AND CHANGING VELOCITIES OF ABOUT 10-15 KTS IN THE AREA. AS I ROLLED OUT ON FINAL TO RWY 8; WE WERE FULLY CONFIGURED AND ON GS. FINAL APCH SPDS WERE 115 KTS AND 121 KTS (WINDS WERE RPTED ON THE ATIS AS 160 DEGS AT 12 KTS). THERE WERE NO WINDSHEAR WARNINGS ON THE RELEASE; NONE IN THE WX PACKET; AND NO TP WARNINGS INFLT. BECAUSE OF THE ATC COMMENT ABOUT THE CHANGING WINDS; I WAS PREPARED FOR SOME LIKELY CHANGES IN AIRSPD. AT ABOUT 1000 FT; ON GS AND ON SPD; I NOTICED AN INCREASE IN AIRSPD OF ABOUT 10-15 KTS; SO I BROUGHT BACK THE THRUST LEVERS A LITTLE TO CORRECT (WHILE REALIZING THAT A WIND SHIFT WAS ABOUT TO OCCUR). I WAS ABOUT TO ASK TWR FOR A WIND CHK WHEN AT ABOUT 800 FT AGL I NOTICED AN IMMEDIATE LOSS IN AIRSPD OF ABOUT 35 KTS; AN INCREASED SINK RATE; AND A 'WINDSHEAR WARNING' AUDIO ALERT (WITH THE RED 'WINDSHEAR' WARNING ON THE ADI). WE IMMEDIATELY DID THE WINDSHEAR RECOVERY MANEUVER. TWR THEN GAVE US A HDG AND TOLD US TO CLB TO 4000 FT. WE RPTED THE WINDSHEAR TO ATC; DID A WIND CHK AND ASKED FOR VECTORS TO RWY 15 INSTEAD OF RWY 8 (BASED ON THE RPTED WINDS OF ABOUT 130 DEGS AT 8 KTS). I BRIEFED THE PAX ON THE PA THAT WE HAD TO GO AROUND BECAUSE OF A WIND WARNING. ATC THEN VECTORED US TO FOLLOW ANOTHER ACFT TO RWY 15. AFTER THE TURN TO FINAL (AGAIN WITH A TAILWIND UNTIL ABOUT 1000 FT) WE DID ANOTHER WIND CHK AND MADE AN UNEVENTFUL LNDG ON RWY 15. ON THE GND; WE HEARD OTHER ACFT RPTING WINDSHEAR ALERTS WITH AIRSPD CHANGES OF +/-20 KTS. AT THE GATE; I CALLED DISPATCH TO INFORM THEM OF THE WIND SITUATION AND THAT WE HAD TO GO AROUND DUE TO A WINDSHEAR ALERT. THE ONLY PREVENTION FROM WINDSHEAR IS AVOIDANCE; BUT SOMETIMES IT CAN BE MUCH MORE SEVERE THAN FORECAST OR EXPECTED. WHEN YOU ARE AWARE OF THE POSSIBILITY; COMBINED WITH THE GOOD TRAINING WE RECEIVE; IT CERTAINLY HELPED MAKE OUR RESPONSE A SAFE MANEUVER. I CAN SAY WITHOUT HESITATION THAT WINDSHEAR TRAINING HELPED PROVIDE A SAFE RESULT FROM THIS WINDSHEAR SITUATION.