That depends on 1) your location, and 2) your desired result. If you want bright, direct light, then aim toward the sun - south for me (and skylights, also). A more diffused light, and specific effects, have many options.
Yeah, case by case~
yeah it depends on ur location... but still.. Skylights ..are the best.. as u get lighting all the time.. and if the Skylight is designed it gives some wonderful effects adding to the ambiance, ..n where its not possible... then ur Windows should face towars the Equator.. ie.. if u live in northern hemisphere.. more windows to the south facade.. n viceversa