It depends there are only a few paid directories that will give you a bump in the rankings (the Yahoo directory is one of them). Free directories have never been that good at passing PageRank. Instead, their benefit mainly comes in the form of anchor text (which when combined with other higher quality links will help your rankings).
Nevertheless, SEO will never be about one type of link. The search engines are looking for what looks natural. And while directory links, or any other kind of link for that matter, do help your link building efforts look natural, they are simply one tool you have in your link building tool belt.