I looked up all the open air/retractable roof parks:
(14) Face NE (or NNE or ENE): Fenway, Yankee, Oriole, Kauffman, Safeco, O.co, Angel, Citi, Turner, Nationals, Wrigley, Busch, AT&T, Dodger
(8) Face SE (or SSE or ESE): Rogers, US Cellular, Comerica, Globe Life, Marlins, PNC, Great American, Miller
(6) Face N: Progressive, MinuteMaid, Citizens Bank, Coors, Chase, Petco
(1) Face E: Target
A NE-facing park gets the setting sun in the face of most of your fielders. A SE-facing park affects LF severely but not RF/CF as much. The north-facing parks seem like they might have the least impact. Clearly teams have avoided anything in the NW/W/SW/S range to avoid affecting the hitters.