While they aren't as effective a means of building links as they once were, directories can still be and should still be part of your link building efforts.
Not all directories are created equal. It's important now to understand which directories are worth submitting to and which should just be ignored.
Fortunately Search Engine People has written a couple of recent posts about what to look for in directories.
Link Building 101: The Power of Directories
Link Building 101: How to Evaluate the Power of Directories
Both posts have good advice and are worth reading if you want to better understand what to look for in a directory.
Do you make use of directories as part of your link building? What success have you had with directory links?