There is a lot of advice here in this thread and it's all in the same vein, but nobody has touched on a crucial issue - do not link back to the directory, especially if it's of questionable value. A reciprocal link back to the directory is an endorsement of the directory, and if the directory is on google's shitlist, this will definitely harm your site. I learned this the hard way. So if a directory requires a link back, check it out carefully, make sure the directory owner doesn't approve spammy sites (ED, gaming, affiliate links, 18+, etc).
Any channel of advertising is value, the key is not to rely on just one. Use Directory submission alongside, do follow blog and forum posting, article directory submission & press releases
Thanks for the advice, although, I never tried this one before. You give me an idea in directory reciprocal linking.