Like everything in SEO it is fairly subjective - especially when it comes to 'old' link building tactics.
Here is the criteria I use:
*note: this criteria obviously doesn't apply to sites like Yell and Yahoo listings.
(1) Relevancy - does the directory have lots of categories and sub-categories spread across many different products and services. For example - solicitors to kitchen fitters to a wedding dress shop. I will only submit to site that are dedicated to one product or services.
(2) Domain - use common sense with regards to domain. For example - avoid wwww.buildmylinks.com or www.boostrankings.com instead if a directory (even if it is fairly small) has a relevant domain for example - www.suffolksolicitors.co.uk*
*note: these domains are made up.
(3) Cost - never pay for links/directory listings (unless Yell or Yahoo etc.)
(4) Use SEO tools like DA and PR rank. I try to avoid sites with a -50 DA and -5 PR
(5) As with everything, use common sense. Do you think the directory will actually serve a purpose? Would it rank for a search term? Would you click on the link if you came across it?
Hope this helps 