Search engines may consider links from well-known directories to have some weight, espcially from vertical directories. Links from directories provide one-way links to your site.
The main directories you should consider are Yahoo and DMOZ. However you should find out which directories the top ranking sites appear in. If you can also get listed in these directories, especially if they are vertical directories (related to your industry or region) then this should help your search rankings.
If you want our SEO consulting services we would research which directories your competitors are listed in and and recommend a list of directories that you should also appear in. Some sites and directories will give you a free listing however others like Yahoo charge around $299 per year.