Directories are one way of getting quality inbound links to your website. It's not a good source of direct traffic as you said. Submitting your site to good and high-PR directories is one way of getting quality links that are highly valued by the search engines. Web directories are mainly human edited, thus a website must pass a strict criteria to get listed, hence quality links are only listed. These links are search engine friendly. Since they are organized in highly focused categories making them an invaluable resource for search engines to measure the quality and the relevance of a website.

I know what does work well.
Visit high profile forums, not necessarily in your own niche
and introduce yourself, ask a few 'sensible' questions, or
contribute in some other 'non-intrusive way'.

Always try and have a 'live link' in the signature file and
'Hey Presto' your blog starts appearing in the most unlikely
places in the search engines, and traffic follows as long as
'your' forum subject, or the forum subject you contribute to
has an interesting enough subject line.

Good luck,

Pete

Directories are good for getting the SE's to crawl your site. They are not good for getting direct visitors from the links. Think of it like this how many times have you went to a directory to find something you are looking for? I doubt you have even used a directory, but instead used a search engine. Having your site listed has helped your placement in the SE's, but even that may not have helped much. I personally use directories, but not those ones that require some sort of payment or a link back to be listed.

Glad you found this informative!