If you’ve got a new site you’re looking to get indexed, chances are you’re going to have to make some sort of link building effort. These days the way to go seems to be link baiting (building the kind of content/services) that will create buzz and attract links naturally. But still, there is a lot to be said for getting listings in relevant directories – both for the search and direct traffic implications.
Need a good list? Freelinks.com does a good job of pulling together a number of useful resources.