I would do either depending on the timing of the trip. As Mike points out, winter trades tend to be NE, summer more SE.
So if I was leaving in the late summer/early fall (yes I know, that's
hurricane season) and had SE winds I might
head to the Abacos first and do a clockwise. If departure time gave more NE winds I would think about
Exumas and the counter-clockwise
route.
Just remember that the seasonal
wind directions of NE or SE are tendencies and not a guarantee. In particular during winter
weather patterns you can get fronts from the north that will give you winds from the north or west. Timed correctly this can give you a great boost to the eastern side of the
Bahamas, but be careful trying this. Timed incorrectly you can get your butt kicked in the
Gulf Stream. I timed it wrong once leaving from
Lake Worth and a day later limped into Ft Pierce somewhat worse for wear.