During the summer months a fan should be set so the blades turn counterclockwise. They should be set to turn quite rapidly as this helps to push the air down. Airflow from a ceiling fan can make a room feel as though it is 8 to 10 degrees cooler than the room actually is. This is due to the wind chill effect. Ceiling fans can help reduce your air conditioning bill by as much as 40% in the summer months.
During the winter a fan should be set to turn the blades clockwise and at a slow rate. This creates a gentle updraft which pulls cooler air up and forces the warm air that rises and is trapped at the ceiling to move down, thus making the room warmer. By setting the blades to turn rather slowly, you do not create the wind chill effect, but move the air from the ceiling down the walls. Running your ceiling fan in this manner in the winter can help you save up to 15% on your heating costs.
If you have very high cathedral ceilings like I do in my living room right now, you do not need to switch the directions as the height of the ceiling will negate the wind chill effect. The speed will help force the hot air back down and keep the air circulating up by the ceiling.
You can adjust the direction of blade spin on your ceiling fan from the remote if your fan has one or on the fan housing itself. There is a small switch on the fan housing.
If you don't own a ceiling fan, you should consider installing one in each of your most frequently used rooms. They start at around $15 and pay for themselves in a very short period of time in both heating and cooling savings. Ceiling fans are relatively easy to install and provide years of hassle free use.