Only use either high
PR directories (such as DMOZ or Yahoo; Yahoo charges, unfortunately) or directories that are keyword-specific (such as directories for local businesses) as they tend to have less links, and thus search engines hold more importance per link.
You'd really just be wasting your time to submit your site to a directory with countless links (assuming it doesn't have high
PR, as most don't). The importance of each link, when so many links exist, becomes negligible and the effect it will have on your site will be the same.