Most of the time I press to one side. When you sew the seams together, if one piece is pressed one way and the other piece is pressed the other way, the seams nest and lock together, and the bulk is no more than it would have been if you'd pressed it open. Also, for people who stitch in the ditch a lot, it's better to press seams to one side, so the quilting has something to hold on to.
However, there are times when it's better to press open. It just depends on the quilt design.