I think high quality paid directories still work to some extent, free directories certainly don't anymore from my experience (especially if they are very low quality). Three way link exchange would be useful if the search engines couldn't detect it, one way link exchange is no good (and very easy for search engines to detect).
I was pointed to a good link article last night by Rak. Below is the portion of the article that I thought was interesting...
Nice article, though what kind of directories were taken into consideration when people were creating this statistics? I dont think that links from DMOZ directory will give 0 link value as we see on the picture. Another thing is that people that are involved in wood-flooring won't agree with this statistics, because they mostly have directories links and they are sites are OK - I checked...)))