Pilots aren't the only ones to do this - ATCers do it too. We all have to be careful and check if the information and or clearance we are given/request doesn't feel right.
There does seem to be something different between E/W and N/S. People have a mental picture of the cardinal points in their heads - I think that they naturally orient N/S correctly. Think about how your internal direction finder/spatial orienter works. E/W seems to be much less firmly routed. It's almost at a sub-conscious level that the mistake gets made. Pilots also go to places that they are not familiar with; the stress asociated with that makes mistakes more likely.
The classic mistake is, of course, to get it wrong by 180 degrees. MG highlights one source of the error - the way that we express wind direction, but I also think that people are inherently more likely to misorient E/W.
If there is a different rate between rotary and fixed wing pilots, then it may be because planks do standard joins (overhead etc.), whereas us rotary guys always seem to get something odd thrown at us.
The most basic heles may not have a card presentation of heading (DI or RMI/RBI), just a magnetic compass, which makes it more difficult to visualise what is going on.