Prime85,
All of the previous recommendations are correct and great resources to investigate, however, the real question isn't for a list of directories. The question and my best answer for you are, not ALL directories are appropriate for ALL businesses. Martindale.com is an awesome "directory" to get listed in as a law firm, big or small, although it would not be relevant for a local dentist to be listed as Google wouldn't see the relevance. Find directories which have broken out categories to fit your business/industry/niche... then submit your listing. Use tools to look at the directory site as well to check for PageRank, DA, PA, and if it looks spammy, it may just be spammy and not worth it as a quality profile for a link.
Hope this was a good answer to push you in the direction for finding relevant directories, all local directories, and use tools to look at the site from a search engine perspective to help your link building efforts.
Cheers,
Patrick