For the most part, I press mine toward the dark side.
If you're making a pinwheel, you need to press them all in the same direction (sort of like in a circle) to avoid a lot of bulk where all the pieces meet in the center.
Some patterns say to press all seams open. Deb Tucker's Hunter's Star pattern says to press all seams open. This pattern creates an 8 pointed star and pressing the seams open in this pattern does help reduce bulk where the star points meet.