In the Astrée project, we use some small C functions and OCaml wrappers 
to change rounding modes. It's not easy (some systems have 
fpgetround/fpsetround, others fegetround/fesetround, some have none and 
you have to use assembly, and old versions of GNU libc on IA32 have 
fegetround/fesetround that change rounding for the 387 FPU but not for 
SSE, which may break some external C libraries).
[ Hey, we should publish our libraries. ]

In addition, some C libraries don't work properly when rounding is not 
"round to nearest". I filed bugs against FreeBSD libc (printf doesn't 
work properly with some arguments) and GNU libc (pow() does not work 
properly).

Rounding modes other than the default "round to nearest" tend to be 
largely untested on many systems and libraries, because few people use 
them. #pragma FENV_ACCESS is not even implemented on gcc; 
-frounding-math is supposed to signal rounding modes other than round to 
nearest, but the documentation states that it's not even sure it works...

Not that I want to advertise myself too much, but I think you should read
http://www.di.ens.fr/~monniaux/biblio/pitfalls_of_floating_point.pdf
if you are concerned about interactions between compilers and 
floating-point.