Which way should a ceiling fan turn for heating season, clockwise or counter-clockwise?

It should blow up in the winter and down in the summer.

Down (counterclockwise) blows air downwards, creating a cooling effect. Up (clockwise) brings air from the center of the room and blows it up and to the sides, making it feel warmer. If you have a vaulted ceiling where it gets hot, using a fan may not be a good idea at all.