I can't speak for all analytics programs, but I can say that YES - with Google Analytics and Omniture, at least - clicks from the subdomain to the main domain will show up as referral traffic on a default installation.

However, there are ways around this. For instance:
http://www.google.com/support/analytics/bin/answer.py?answer=55524

Look for directories that have a review process and don't just let anyone in. You can tell if they have a good review process by looking at the other sites in the directory. If the directory lets crappy sites in and charges a fee for inclusion, it isn't going to be as valuable to you as a site that charges a fee for "review" and doesn't guarantee inclusion - especially if that site only includes high-quality websites. Many of the ones Wissam mentioned would fit that description and, IMHO, are worth submitting to.

I disagree that there is no benefit to SEO from paid directories as a blanket statement. Like all things in SEO, diversity, moderation and common sense will usually give you the correct answer. And correct answers aren't always, or even often, black and white.

You mentioned sports niche directories. Niche directories are another example of ones that are often worth submitting to. But all in moderation.

This tool will help you if you haven't used it already:

Juicy Link Finder

As will searches like this, which Wissam probably used to find you those examples:

inurl:www.sports submit