The directory sites are effective if they have traffic and if they're a type of site that's an authority site, like the Yahoo! Directory, Best of the Web, DMOZ.org, etc.
The other directories that don't fall in to that category can actually be useful for 'citations', meaning that if it's a local business, and you can include the company's name, address, and phone number in the listing, then it can help. The more mentions of your company's name, address, and phone number (NAP), the better.
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, as well.