I think you would want the smooth side on the inside that gets wet so it is easy to clean. If $$ aren't a problem, there are some fabulous etched art designs. The ones I saw in a glass showroom were not really "rough" feeling on the etched side, unlike sandblasted glass. Most glass places will give you a sample to play with, and you can abuse that to seed what it takes to mess it up.

-Babka

Here is a link that might be useful: Frosted and etched glass shower door pics