This is 2017 and the right answer is now:
$(window).on('wheel', function(event){
// deltaY obviously records vertical scroll, deltaX and deltaZ exist too
if(event.originalEvent.deltaY < 0){
// wheeled up
}
else {
// wheeled down
}
});
Works with current Firefox 51, Chrome 56, IE9+
Note: The value of the deltas will depend on the browser and the user settings.