There are a lot of tutorials on changing the strings of a guitar, and they mostly suggest that, after you put each string through the hole in the tuning peg, you turn the peg clockwise for the g, b, and e' strings, and counterclockwise for the E, A and d strings. (I'm interested in the case of three pegs on each side of the head.)
So when the strings are "properly" (according to those tutorials) installed, you need to turn counterclockwise in order to tighten the bass strings, and clockwise in order to tighten the treble strings.
Why is that? I presume there's more to it than just a convention? Sadly, skimming through the various tutorials, I couldn't find any reason for doing that. (And I have been winding the strings all in the same direction for years without problem... Now I wind them in the "proper" way but I can't see any difference.)