The big indexes such as Yahoo, Open Directory and About.com are the best places for people to find you. However applying to be listed in them can be a bit of a federal case. Still despite all the red tape, proper submission to these indexes is crucial because there is a pronounced trend towards using "human-edited" indexes in search results. In particular, many of the major search engines are starting to use Open Directory index listings in their search results, making it the second most important place to list your site, right behind Yahoo's directory.
Another thing to consider is that more and more search engines are using link-popularity as a ranking method (Google is the originator of this technique). Under this system the ranking of your site depends on how many other pages link to yours, and how essential the search engine thinks these links are. That means that a secondary benefit of getting a link on major indexes is that it can improve your ranking on some really big search engines. For example, getting your site listed in Yahoo! And in the Open Directory can seriously boost your page ranking on Google.
Before you go to submit to one of the major indexes, please take the time to find and read their submission guidelines, advice and limitations. It sounds so simple but actually it is harder to get listed on the big indexes then one would think. This is because neither Yahoo nor the Open Directory Project is very concerned with accepting just any old crap in their index. Also decisions about what is allowed to be listed in their pages are often made by humans who can tell even better than an algorithm if a web master is trying to pull the wool over their eyes with some crafty black hat SEO.