I've got a directory listing all my proxies. Each proxy links to it, and it links to all the proxies. Would it be better if all the proxies linked to it, and on the directory it has a nofollow? Would the PR increase?
links pointing back and forth between sites like that can be seen as a link farm. Be careful or google will penalize you.
having 400 links on one page is a bad idea. I would try to limit the number of links on each page to 50 or less.
This is maybe not usual for directories, but besides this advice by BLIZ you could try to add some text content (some info about proxy in pure text) to balance the links weight... at least to go to equalize all of them.