I just started my first directory. I tossed around with the idea of finding a free directory script, but in the end went with a $25 version of php link directory. I'm not sure if it was worth the money yet or not. It is very easy to use, but still has a few bugs.
The advantage to buying a script from them vs building your own is that you can get tech support from the people who built it and from people who have had similar problems.
