Yahoo and Best of the Web are both good paid directories.
DMOZ is the best free one but they almost don't update it any more and it's gon edownhill massively, still a good link if you can get it though.
Other free directories aren't great links, but if you google 'List of free directories' there tend to be lots of lists people have put together where you can spend a good day or two submitting your site. Whether or not it makes any difference is another issue...