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You can find places that will link to your site for free (some directories or free, some require a reciprocal link) or you can pay to advertise on other related websites.
The benefit is that you will show up in the search engine rankings if you have links to your site. Otherwise, you will not.
1.) Direct traffic - some directories do send targeted/qualified visitors/prospects to listed companies
2.) Credebility - not being listed in a leading industry directory may backfire when prospects "google" you
3.) gained backlink and PR - as pointed out above, both will help your ranking in SERPS
The trick is to find the "good ones" to be listed in - those who have authority/hub status to search engines AND are well known in the part of the "real world" you are targeting.