Yes, keep submitting Look here: http:// forums.digitalpoint.com/showthread.php?t=147676&highlight=link+directory A list with 3000 directories...
Yes, provided the page the link is on is indexed by that particular search engine, and not supplemental. And provided the link is SEO-friendly (ie not obscured by Javascript, nofollow tags, and the page isn't hidden behind robots.txt). Not all directories are SEO-friendly, but many are.
Obelia is right, an exchange with a directory that does not have search engine friendly url's will not help. Go the the directory in question. Right click the link and see if the box states the URL is the same as the URl when clicked. Example: Let's say the directory is: www.golf.com. You see a link in the directory that says www.golfingbuddies.com . Right click the link and see what the URl states. If it says something liks: http://www.golf.com?link#414 then this link will not give the site being linked to the credit for the ranking. Make sure the link says: www.golfingbuddies.com. This Url is Search Engine Friendly, and will be awarded with the link. I always right click links, when a directory or any link exchange is being offered.