I say pain as sometimes it can be very tedious and even frustrating getting your blog listed into many of the blog directories. One of my biggest frustrations is trying to find a category that is suited to the blog I want listed – and every directory seems to have a different set of categories.
However, are they worth the effort? Most directory sites seem to have taken a little dip in the rankings of late, does that mean that Google no longer favors them or is it a temporary glitch? For some blog directories it no longer matters, they have incorporated no follow into the their out going links.
If you do decide to submit to one of the blog directories, determine if it does follow, if not, is it popular enough to deliver traffic – if not – don’t bother.
Blog directories that haven’t gone the no follow route can still provide some good value. If they allow links to inner pages, so much the better. Blog directories that use the do follow and allow deeper linking are few and far between. If you can find one, use it and use it well.
Ensure you select the right category and write a good description. If submitting to more than one directory, use a unique description for each one – chances are you are using a slightly different category so write your description to marry your blog to the blog directories you are submitting to.
Whilst it may be a tedious job submitting to blog directories, the links you receive will all help to build on the rankings of your blog – use blog directories only if they do provide some real help.

I think it depends on the status of your link building. Its a trade off of time vs benefit, but directories do provide one way links with anchor text you can control. At the end of the day, a link is a link, even if not the best quality link. Getting several one way links with your keyword in the anchor text really helps ranking. So if your link baiting and other marketing methods aren’t bringing in the links you want, than yea, I’d say its worth the pain =)