Have personally not found global directories to be the best way of building links. In terms of directories, getting a link on a good quality site relevant to your industry is much better. For instance, if you are working with a travel company get links from tourist boards.
Increasingly though it seems to me it is getting harder to actually get good quality links from relevant sites without paying for at least some of them.
I think the main thing to remember with links is quality over quantity. Half a dozen good links is far better than a hundred average ones.
Link building is tough at the best of time, so the best of luck with it!