My mindset is somewhat different - I believe there are plenty of clients for everyone, regardless of how competitive the industry is. I subscribe to the business principles in The Go-Giver and Go-Givers Sell More, by Bob Burg and John David Mann. I've found that if you give freely, you receive many times over.
Saying that, we've not really used directories to advertise - until just recently, and are now beginning the same process of evaluation. What I'm looking for are directories with high SERPS for the keywords that relate to our services.