Here's The Answer:
You should always be looking to enter a planetary system such that you're travelling counter-clockwise when viewing the north pole of the parent body, since this is the "correct" direction and nothing orbits in the "wrong" direction.
When encountering a moon that is tidally locked, it effectively doesn't matter which direction you enter from, but since you might not know if a moon is tidally locked, and since nothing rotates slower than the tidally locked rotation speed, your best bet is to also enter in the "correct" direction. There is a small cost associated with landing or taking off in the retrograde direction, the worst being for Laythe, where the difference is only about 120m/s.
When launching from a planet or moon, launch towards the direction that the background stars rise. In the general case, this is usually the same direction that a parent star or planet rises from, and in KSP, is always the case.
Here's Why:
I'm going to get a bit sciency here, so please forgive that. It's necessary to properly explain what it means for a planet to "rotate the wrong way".
First, let's consider a two body system where the two bodies have masses m1 and m2 and the mass ratio m1 : m2 is greater than 1000:1, i.e. we have a star and an orbiting planet. To simplify things (and to mimic how KSP does things), we'll assume the star remains stationary (except possibly for rotation), effectively meaning that the barycenter of the system (the centre of mass of the system) is at the centre of mass of the star. This doesn't represent reality, but neither does KSP.
From this system, we can extract a number of angular momentum vectors: each body has one located at their centre of mass and extending along the axis of rotation towards the north pole (the rotational angular momentum vector), as well as a second one located at the barycentre of the system and pointed along the normal of the orbital plane (the orbital angular momentum vector, which also defines the ecliptic plane of a planet). Note that the first set of vectors is how north is defined for a body.[See note below] It is independent of the direction a planet or moon orbits the parent body, but I'll come back to this in a minute.
The first set of vectors are approximately 2/5mR2ω where m is the mass of the body, R is the radius, and ω is the angular velocity, while the second set are approximately m(r x v), i.e. the cross product of orbital distance and orbital velocity multiplied by the mass. In our simplified case, the orbital angular momentum vector for the star is zero because the orbital distance is zero. Additionally, we can define another angular momentum vector which is simply the vector sum of the previous angular momentum vectors, and defines the invariable plane. It also defines what it means to be "pointing north" relative to the system as a whole.
Now that we have these definitions, it's very easy to expand the number of children bodies, or even include whole sub-systems.
What does this mean for your question? Well a planet or moon only rotates "in the wrong direction" if the angle formed by the rotational angular momentum vector and the orbital angular momentum vector are more than 90°. This angle is defined as the axial tilt. No body in KSP meets this definition. (One possible exception would be Bop. I haven't personally checked it, and the wiki is a bit unclear.) In reality two planets in the solar system meets this definition: Uranus, though only just, with an axial tilt of almost 98°, and Venus, with an axial tilt in excess of 177°.[See note below]
It's also possible to orbit "in the wrong direction", by a similar definition, if the angle formed by the orbital angular momentum vector and the system angular momentum vector (that defines the invariable plane of the system) is greater than 90°. No body in KSP meets this definition. In reality, this is practically impossible for any planetary body that formed in the accretion disk of the young solar system.
As for tidally locked moons, yes there are plenty of them in KSP. Duna is even co-locked to its moon Ike. They are, however, still rotating in the "correct" direction. Even if these moons rotated slightly slower, they would still be rotating in the "correct" direction, since from an inertial frame of reference, they are still rotating in the same direction that they're orbiting. Yes, from a rotating frame of reference, they may appear to be rotating in the wrong direction, but we're not allowed to use a rotating frame of reference. It doesn't matter which direction a parent body rises from, although this is somewhat of a moot point for KSP since it doesn't happen.
Note:
The IAU doesn't actually use the mathematical definition described above for determining which pole is the North Pole, despite the convenience the mathematical definition affords when doing calculations. They instead prefer to designate the pole that forms the smallest angle with the invariable plane normal as the North Pole. From a physics and engineering standpoint, this is stupid, and may actually cause the definition of north on Uranus to eventually swap due to axial procession.
Best Answer
Ok, after further testing it looks like I have an answer which I'm confident enough to share with the community:
There is no one thing that will guarantee that a ship will survive (except going slow or not re-entering, which aren't really options), but there are a combination of steps you can take to minimise the chances of destructive overheating.
Having a heat shield is NOT a cure-all. It won't help you unless it's pointing in the right direction, of if you're going too fast or too steep or too heavy. But the right combination of procedures can save your Kerbal's life.
It's worth noting that most simple up/down sub orbital flights don't need heat shielding because the speeds generated aren't high enough.
Surviving Orbital Re-Entry 101
This is the combination that will help your ship survive orbital re-entry on Kerbin(It will probably also work on Eve, Duna, Laythe and Jool):
1. Have a heat shield
The heat shield is designed to save ships from re-entry from orbit. Engines also work pretty well for heat shields, but don't rely on them.
You can sometimes get away with a 1.25m heat shield on a 2.5m craft, but avoid this unless you like explosions.
2. Point your heat shield at the heat
If your heat shield isn't pointed towards the heat, it won't work. If you have a heat shield on the bottom of your ship (Like a command pod Mk1) and a level 1(or higher) Pilot, use SAS and point Retrograde. If the heat shield is on the top of your ship, point Prograde.
3. Don't enter too steep
When it comes time to re-enter, it's easiest to drop your Periapsis to 0m. Then you know where you're going to hit (factoring planetary rotation) and you can target the VAB for maximum recovery dollars.
But that is a terrible, dangerous way to re-enter. What you want to do it drop your periapsis to around 30,000m (on Kerbin) so you can ease down your speed, rather than trying to lose all your speed at once.
You also want to drop your apoapsis as much as possible too. That will reduce the amount of speed you need to lose at periapsis. You definitely don't want to re-enter hyperbolically!
4. Use parachutes
This one is so obvious. On Kerbin, chutes can open around 22,000m. The drag from partially open chutes can slow you down enough that heating effects dissipate in seconds. However, it's super annoying to have your chutes slowing you down all the way to the ground and removes some of the "realism" to open your chutes at Mach 3.
EDIT: As of KSP 1.0.1, parachutes can be destroyed if you open them going more than 1000m/s. So don't go doing this at 3000m/s and expecting to survive.
5. Keep everything stowed
I used to like to make a nice symetrical ship with mystery goo containers, batteries, solar panels and monoprop tanks on the outside of my ship. You can't do that anymore - store them in the new "Service bay" parts. I've found that you can position 4 solar panels inside the service bay nicely so they open out without clipping into things.
Even OX-STAT, the single solar panel is destroyed on re-entry if you come in too fast.