Does the chain direction make a difference?
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).