Here are my thoughts and ramblings:
Engine failure before V1:
Better to lose the downwind engine as you will be stopping on the runway and the wind will blow any smoke away from the fuselage.
Engine failure after V1:
Better to lose the upwind engine as the aircraft will naturally tend to yaw towards the failed engine. In this case that is into wind which will offset slightly the track deviation. In my expereince in simulators crews often tend to not put enough rudder in initially thus leading to some drift downwind and thus head off track (SID / Emergency Turn). This effect is reduced if the upwind engine is failed.