When playing chess on a physical board, which way should the knights face? Sideways (as in chess diagrams) or straight ahead? If there is nothing in the rules about this, how do the professionals usually set up their knights?
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There is nothing in the rules about this.
The way that grandmasters set up their knights varies from person to person.
Here is an image from the world chess championship:
Carlsen has placed his knights facing each other, and Caruana has positioned his knights facing forwards.

konsolas
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2They are both wrong! I set up by knights facing left (from my point of view). :-) – itub Feb 22 '19 at 18:49
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Wondering whether they are always facing the same way or whether they change direction after a move.... – user1583209 Feb 22 '19 at 18:51
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The rules say nothing about this, and it varies from person to person (including among professionals). Some people place their knights facing sideways and forwards, and another popular orientation is placing them in a diagonal pointed towards the centre.
You could place them pointing backwards if you want to screw with your opponent, but I've never seen someone do this in an actual game.

Inertial Ignorance
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What about trying to "screw with your opponent" by purposely "adjusting" pieces to be off center on their squares. Would anyone complain about that? Has it been done? – bof Feb 23 '19 at 02:25
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If it bugs your opponent they'd be allowed to adjust the piece, or at least ask you to adjust it. So you shouldn't do that (although I'm sure some players have still tried doing it). The whole thing about backwards knights was mostly a joke :) – Inertial Ignorance Feb 23 '19 at 03:58