Yes, we all know this is a good action; but why should we do this and where? For the beginning add your site to big directories like yahoo, google, dmoz; it will bring you more traffic and more link partners. For those who work to new sites another suggestion is to get good related links with good PR and quality original content. After a while the traffic will grow up, rankings too and will be the same as long as you keep creating link partnerships.
Adding your site to big directories costs but this will reflect into your site's popularity and will save you from working every day on blogging or posting articles with links to your site.

How much time do you have to wait to get an approval on big directories? Some of my friends submitted their websites at DMOZ and Yahoo, it passed some time and didn't get any reply.
Someone told it's about luck, others it depends by their editors, but i think there has to be some algorithms they take decisions.

All submission directories make approvals following some algorithms, and they reply periodically. It depends when you added your website and how good is it.