There are so many web directories on the World Wide Web (WWW), there are free and paid web directory. Lately, after Google released a new algorithm called "Penguin" a lot of free web directories has been banned by Google because it has low quality content and bad links. Of course it would be very detrimental if you had your website listed in such directory.
There are several posts that discuss this like on WebmasterWorld, SearchEngineLand, and SearchNewsCentral.
To be more safe, select a quality web directory (free and paid). The word "free" is very tempting but do not sacrifice your business, choose it carefully.