When all the sites need to exchange links with only relevant sites, then why we should submit our links to those directories which are adding links from all the websites??
When you are approved for a Review on a Directory you will get your Review URL indexed in the SE's and you will get a quality backlink to your site Its generally referred to as a value added benefit with an assured ROI
I just wrote an article about this specific topic on my BLOG. You should know why Directories still hold so much importance in today's WWW. Please read when you have a little bit of time. Relevancy of web Directories
If the directory owner is very careful and reviews sites properly then you should get your site listed on a page with other very relevant sites, if they categorise things well too, so there will be good relevance in many cases.
That's the beauty of directories. They create relevant categories for your website. If you come across a directory that does not have a specific category that is relevant to your site you don't have to submit cause you can find plenty more directories that will fit your category.
I understand that first I categorize the theme of my site, then I start the directory submission, so it may included in the relevant neighborhood.
I dont think this cast in stone. Everyone knows that Google has to start tidying things up and its anticipated that they will start giving greater weight to relevancy. That said its easier said than done and is not written down in black and white.
The best way is to exchange links with similar sites or blog on internet. By this way you will get most of it.