Using the drill with a screw driver bit
There are some specialty screws for special situations, like securing something to a rotating shaft in certain situations, that have reverse threads. However, virtually all screws you will normally encounter screw into the material when turned clockwise and out of the material when turned counter-clockwise.
In terms of drill rotation, think in terms of what the screw does. That's the direction the bit turns from the perspective of the drill pointed away from you. If you turn the drill around and look at the tip of the bit, it will be reversed.
Using the drill with a drill bit
There are some specialty bits that are reversed, but these are only of the type you think of as a "regular" style drill bit, the fluted type). I can't think of any other style bit (e.g., spade, Forstner, etc.), that has a reversed version.
To recognize a reverse fluted bit from a normal fluted bit, lay the bit on something with the point facing right and look at the flutes (the grooves running around the stem to remove material). From this perspective, the flutes will run diagonally across the stem of the bit. On a normal bit, the top of the flute will be to the left of the bottom. On a reverse bit, the bottom of the flute will be to the left of the top. A reverse bit will work in the opposite direction of a normal bit.
Any normal bit will work the same as a screw. Clockwise will drill into the material. Counter-clockwise will extract the bit.
Using the drill with grinding bits and sanding/polishing heads
There are a few specialty sanding heads, like flap disks, that are designed to work in a specific direction. This will almost always be clockwise, but it will usually be apparent from looking at it. The intended direction will allow the flaps to flex, either by bending a little more in the direction they are already curved or by moving in relation to an adjacent flap. The opposite direction will work against the design. Think of a string mop. If you pull it in one direction, the strings line up behind the head. If you then try to reverse direction, you're working against the orientation of the strings, and the strings will crumple in random directions.
Grinding bits and sanding/polishing heads that are a continuous surface can be used in either direction. The best direction is typically to take advantage of where dust or debris will be thrown. All other things being equal, use the direction that sprays the least toward you.