I've wondered about this as well for the few wheels that I have built. I like the Gerd Schraner book best, and he prefers the heads In (as does Zinn). But I've built wheels both ways and it seems there is no real practical difference.

But here's how the various "experts" call it:

Pulling spokes, heads In or Out

Sheldon Brown - Out
Gerd Schraner - In
Jobst Brandt - Out
Barnett's - Says it doesn't matter, but his procedures show them Out
Lennard Zinn - In

So, sort of a split decision I guess.