Until now, I used a combination of Preview (to modify the EXIF orientation value) and PhotoToolCM (to do lossless JPG rotations) to achieve images that look correct both in Preview and in non-EXIF/web apps. using CocoThumbX), the icons might not show up correctly. What's more, even after you apply new icons to a file (i.e. You can, of course, have Preview rewrite the EXIF tag and make the image appear rotated, but as soon as you go to put that image on the web or use it in Word, etc, that rotation simply doesn't exist.
I have been very frustrated by OS X's (Preview app) handling of image rotation.