I had a Yell.Com sponsored ad - the biggie at the top (old style layout) it cost er....£3000
It generated a small handful of leads....
I paid £350 for a Yellow Pages ad....got 16 enquiries.....
I spend £600 a year on Google PPC which generates 100's of leads PA
We get others through organic searchs too
I am not on Yell or in Yellow Pages at all .....overpriced IMHO
Free directories rarely generate leads, although Find a Good ONe and FreeIndex have worked quite well this last year
Everyone will have a different experience.....but google/web works brilliantly for me !!