Yahoo! Merchant Solutions

Their directory is quite expensive (click on marketing), but it does have the rare ability to provide both SEO benefits and traffic if you are in an appropriate category. Most directories do not provide appreciable traffic.

DMOZ - Open Directory Project
While a great place to list your directory it is very difficult to get your site listed. Category editors are generally very slow to review your site and they are usually not interested in listing your site if you are actually in need of SEO benefit.

General directories accept the addition of most web sites. You simply find the category that best represents your site and submit it. Sometimes you are allowed to submit your site to multiple appropriate categories.

Regional directories allow you to categorize your web site into one or more geographical regions. You may also need to choose from a set of broad categories once you have chosen the correct region or locality.

Niche directories focus on a specific subject area. If your web site is also focused on that specific suject area, then it is a great place to have your site listed.

Blogging has become a huge phenomenon. Blog directories specialize in categorizing blogs in some way. Some general and regional directories also provide good resources for submitting blogs.