When I play OTB, before play begins, I turn each of my knights so he faces the king. They continue to face their original direction throughout the game.
I generally orient my knights forward when I set up my pieces.
I've played people who always orient their knights towards my king. That seems kind of obnoxious, like people who "screw" them down onto the board, but if they're subtle I don't notice or care.
I tend to face my knights forward, but they usually end up angled a little through the course of play, because I don't really pay much attention or care. I know one guy who always makes his knights face to the right.