Some folks say it depends on which HSF you are talking about. The Taisol 733092 HSF for my Duron 600 came with the fan blowing onto the CPU. I tried reversing it so it was blowing out, but the CPU temps went up a bit....and it made a terrible whine. I tried a second time, still the higher temps and whine.
So I reversed the fan back to blow onto the CPU, the temps went back down, and the whining noise went away.
So, for this Taisol, blowing onto the CPU seemed to work the best.