If you have only one, set it to intake and leave another window open a bit (maybe like half the fan size). You can confirm that air is exiting that way by hanging some strips of tissue paper in it.
Positive pressure (blowing in, from outdoors) is also the right thing to do if you are trying to keep smells from other rooms at bay. Whereas negative pressure (blowing out, to outdoors) is best to keep a smell confined to one room (e.g. this is how bathroom fans work).
Even better, now that I own my own house, is a high powered fan in one window pushing the air out and another (lower-powered) fan in a different room pulling the air in with an additional window open. You can stand in front of the open window and feel the additional cool air streaming in. It's a beautiful thing.
It helps to reduce stale odors, bring in fresh air, reduce indoor allergens...also handy when you accidentally burn something in the oven. :)
(I have a combination energy recovery ventilator/HEPA filter that has has a restriction filter on its exhaust for this reason. Else it would just suck crappy air in from the basement instead of fresh air through the filter.)
If you have to choose one, choose an intake fan for this reason. Best if you can leave another window slightly ajar.
We also have its accompanying HEPA unit: http://www.purifresh.com/cleanroom.html They can be linked (as http://www.purifresh.com/freshairsystem.html) or used separately. (Apparently this is out-of-stock and being redesigned.)
The highest performing PC fans create about 10mmH2O pressure while typically you can expect about 1mmH2O pressure compared to 10mH2O of the atmosphere. This translates to densening of the atmosphere around components by 0.1% or 0.01%, respectively.
Correct placement and design is by orders of magnitude more important than the increased efficiency due to higher density of air.
You could see much more effect by making your air more humid (humid air has higher heat capacity), which will be also much more pronuncable than the increased density due to pressure.
I think it is because you can measure it yourself with just a tube and water- open end manometer.
Kidding!
Positive pressure is very good at assisting the PSU fan and any radiator exit fans you have, negative pressure is very good at cooling the edges of the MoBo and upper drives in a tower system. Negative is generally cheaper, so its usually negative.
Personally for a single fan in a smaller room where you're near the window, I'd say just point it in. That way you get fresh air right where you are sitting, you get the breeze, etc. In the other direction you won't get the cooling effect on your body from the breeze.
Let's say you have three fans in a computer case, one at the back, one at the front, and one on top of the CPU. If they all blow out of the case, then you've basically created a negative air pressure zone, and you will be sucking air through the vent holes elsewhere, and through any gaps in the case. This may have effects for where the dust is taken in.
If all of them blow into the case from the outside, you've created basically a high pressure zone, and air will be taken from the room and pushed out through the same cracks and vent holes elsewhere.
A fan if it's pushing against high pressure will inherently push less air because it's pushing against air that isn't moving as well. A fan that is trying to pull air out can also become inefficient if it is working hard to suck air in to eventually push out. Therefore it's best to have matching airflow - what you push out, you should try to also pull in somewhere else in more or less an equal CFM (cubic feet / minute).
For a room, it's best to have one area that is your intake and the other side of the room be the exhaust. This way you aren't just exhausting air you just pulled in. If you just have one fan, I suggest blowing out, which will draw air in from other spaces, such as under the door, because of the negative air pressure by pushing air out.
(I've worked these problems with indoor gardens and HVAC systems, where there's a lot higher CFM fans and spaces, but the theory is basically the same)