You do want to make sure that all the joints are consistent in the scene. For example, if the is back is Y down the bone, it's best to stick Y down the bone for the arms, legs, etc.
It also depends on what you plan to do with the file afterwards. If you plan on bringing it into another program, sometimes there are specific orientations you have to match. I know if you bring it into the UDK engine you have to have the joints in world.
Hopes this helps some.