Picking up on a thread on Screenwerk, Chris Silversmith over at Natural Search Blog notes a few reasons why Yellow Pages listings are good for SEO. Summarized, his points are as follows:

1. The Yellow Pages tend to have a great search rankings on searches for local business.
2. Yellow Pages sites have high Page Rank and good keyword placement.
3. Local search engine are becoming more like Yellow Pages, and the Yellow Pages is becoming a middle man between those local search engines and business websites.

Of course, Yellow Pages listings can be costly, and Chris acknowledges that. However, he also notes:

Wearing my “natural search optimization hat”, I first have to advise that optimizing through yellow pages sites doesn’t always have to cost money. Many of these sites may allow you to add in extra info about your business, including a URL, at no cost. So, you should do everything you can prior to paying anything.

Essentially, in many regions, by virtue of being a registered business with a telephone number will get you a listing on the Internet Yellow Pages. If this is the case, then, you should take full advantage of the freebie, and inquire as to whether you can get a high-PR link out of the deal.

There are, of course, a number of other considerations to make, such as whether
paying for additional placement is worth it. For example, as with keywords in PPC, there are competitive categories in the Yellow Pages listings, and if you're in one of those, it might be worth a cost of a premium listing. However, if you want more information on how to determine whether or not you're in one of those categories and what to do if you are, you'll have to check out the original post. There's quite an interesting read, there, on the nuances of the SEO benefits of listing with the Internet Yellow Pages.