Forum Moderators: open
No risk from other sites linking to you, only risk is who you link to.
Many directories do not have 'direct' links to your site, but go through a cgibin or something like that. These will not carry pr across. So make sure when you hover your mouse over a link it is a 'hard' link to your site.
Many of these directories ask for a link back. 99.9% of the time this is fine and no risk. I suspect if a directory looks professional and is listed in Google it is fine to link to it, and the benefits from traffic and pr is worth it.
P.S. I have a vested interest here, we do a couple of niche directories that give hard links for free and I know that people do very well from our pr (6) and good traffic!