With high current contactors (big relays) the stationary contact is usually the most positive terminal. The load gets connected to the armature (movable) contact. Very high current contactors, or large DC circuit breakers ~4KA-20KA will have a "Blow out coil" or a permanent magnet of sorts which will direct the arc discharge upwards usually through an "Arc chute" to dissipate the arc into the atmosphere. If the polarity of such a contactor were reversed, the arc would deflect down and into the closing coil likely burning it up.
EDIT:
I stated that the stationary contact is usually the most positive, but this is not always the case. One needs to follow the manufacture's guidelines. I have seen 2 pole contactors with both a positive and negative arc chute, showing that the stationary contact can be either polarity. However the polarity is still defined, and must not be reversed. AC contactors also use arc chutes, and often (not always) the line side is the stationary contact.