This Bicycle Repair Guide says:
One- and three-speed bikes use
1/8-inch wide chain, which use master
links. There is one master link per
bike chain. These snap on and off
easily. There are two types of master
links. Two-piece master links are
opened by loosening the chain, then
gently bending the link toward the
outside, so the outer plate of the
link is free to be lifted off.
Three-piece master links have a clip
that slides to one side and then lifts
off. When reinstalling three-piece
links, install the clip with the open
end facing away from the direction of
rotation, so that friction between the
bike chain and clothing, chainguard,
etc, will not accidentally remove it.
It's also covered on Bike Forums, here's one of the answers:
Chain direction matters if the chain
is worn. If you remove and soak your
chain regularly (which, by the way, is
not recommended, regardless of how
easy it is to remove the chain), then
you won't have a problem regardless of
orientation of chain. If you remove a
well worn chain and install it in the
reverse direction, you'll end up with
a mysterious skip in your drivetrain.
Reverse your chain to see if that's
the cause.
There are two exceptions - if the
chain has an "inside", i.e. points to
the cogs, and "outside", i.e. never
contacts cogs, except the pulley of
the rear derailleur. If you have such
a chain, you'll need to make sure that
the inside is inside. You can still
reverse its direction though, unless
it is also directional, i.e there is a
left and a right (the second
exception).