Pjman - 12:14 pm on Mar 28, 2011 (gmt 0)
Personally, I do not touch directories, but do link to related sites [not always exchanging].. but recently did do a spot of exchanging with a few related sites, and gained well out of it.
I usually find these types of links to have an initial burst, but after a few months they loose juice. I did it to a completely no-competitive term last year. Built all new links on exchanges and after about 6 months the term fizzled in the SERPs.
When I asked others they seem to agree that after Google makes the connection between the links (sometimes months) you loose all juice from those links (devalued).
If anyone has a differing opinion, I'm all ears.