I think that 9 times outta 10 you'd want it blowing on to the processor feeding air to the CPU fan if the side fan is mounted on the left side of the case. If mounted on the right it would depend on a couple of factors. Will it create negative case pressure if blowing out? A little positive pressure seems to be best by most members reckoning. My personal thought is that as long as it doesn't make a neg. pressure situation it would be better blowing out. I don't have a side fan, but it seems a right side fan blowing out would tend to cause more airflow over the entire motherboard. This could cause turbulence though. Some people mount a side fan blowing directly on the back of the mobo where the CPU sits and claim that it reduces their core temp by a couple of degrees. That claim is disputed by others who say the reduced temp indication is not valid, that the sensor only is being cooled by that method. You could try it both ways though and see which is best for you. I reccommend reading the excellent cooling articles available from the tips and tricks link on the WWW.OVERCLOCKERS.COM homepage.
Also browse the Extreme Modding forum for ideas and how-to's
I think it really depends on a few thing:
how is your case cooling set up (where are your other case fans and what are they doing)? are you blowing in the bottom front and exhausting in the top back (or a blowhole)? Like Krakkat said, what is the cpu fan doing? If its sucking off the chip, you would want the side fan to exhaust. Just picture how the air flows in your case presently and do whatever would contribute to air movement in the case.
Here's a picture of the airflow in my case, can ya tell I'm bored? Blue is intake fans, red is exhaust, red lines are airflow.
My fan setup might be fighting each other a little bit, but with all fans on my cpu temps don't get above 38*C.
Well....I can't get the pic to post, but I have 1-120mm intake (front bottom), 1-80mm intake (side, near gpu), 1-120mm exhaust (side, above cpu), 1-60mm exhaust (back side, near connectors). My case temps are typically 3*C above ambient.
I actually ran a test on this. I cut a 92mm hole in the side of my case just above the pci slots and close to the cpu for a 92mm fan. With the 92mm fan sucking air out of the case and a 80mm fan in front sucking into the case, my temps were 1C lower than with the 92mm fan blowing into the case.