I have found something on the net, a guy that says its to do with mechanical effects on crystaline structure changing during the wire being pulled through the die:

Mike VansEvers: Wire has a direction because wire is created mechanically. The internal structure of a copper crystal (face centered cubic, FCC) is reoriented by the physical forces imposed upon the copper by the "die" that the copper is drawn through during the process that turns a 1/4" rod of copper into the wire we use in our audio systems. This is not a one-step process. The copper rod has to be redrawn many times to get it down to the size used in audio cables. During this process something happens which causes wire to have an audible direction. I used to think that wire direction was the funniest thing (stupid funny) I ever heard audiophiles talk about, .until I started making speaker cables. That was a most unpleasant awakening! When I discovered that wire had an audible direction, it meant that I then had to listen to and mark every piece of wire used in my products! Every one of my products has a construction notebook which lists wire: direction, length, and color. (Yeah, color too. Another damn eye-opener that had been impossible to conceive of!)

only more info but at least there is some direction to the discussion now!  If you fancy it you can read more at http://www.soundstage.com/maxdb/maxdb011999.htm  cheers, Ben.