Since the early days of search engines, inbound links have been important tools used to gauge a site's importance. In fact Google is built on that premise and even has an algorithm - the PageRank algorithm - which is used to determine that link popularity. Yahoo! and MSN also use links to varying degrees to determine the popularity or importance of a website.
Granted in today's search engine marketing landscape links aren't as important or influential as they once were but don't let anyone fool you. Links still are an important aspect to any SEO campaign.
When you do link building it should be pretty clear that you must request links from highly important sites like DMOZ and Yahoo! Directory as well as other industry relevant directories.
But what next? After you've acquired 10 or 20 topical directory links what does the average site owner do next?