Someone (are you listening out there) should build a website with a comprehensive collection of free online historical directories.
Update: Well, whaddya know. Someone is building a directories website, both free and subscription. Thanks, Miriam.
These directories -- early versions of the Yellow Pages -- are wonderful sources for genealogy research. They include not only names and addresses, but typically focus on businesses and occupations. One of your ancestors may even have placed a 19th century advertisement for their feed store, stationery supplies, or their services as a surgeon or lawyer. There is good family history stuff in the pages of these directories, which also went by the name of Registers, Gazettes, and a few other assorted titles.
Who wants to contact non-living alumni, after all?
Happily, quite a number of historical directories have been digitized, and can be accessed online. But they're also scattered all over the place on the internet, so finding the directory or directories relevant to your family history is no easy task.
Here are a few resources to know about, though.
First, is the aptly-named UK Historical Directories website. These cover England and Wales for the period 1750 to 1919. The so-called Kelly's Directories are here, and are probably the most well-known British directory of the day. The site is a rich resource, but actual document search and retrieval is, unfortunately, on the slow and clumsy side. Still...awkward access is way better than no online access at all. If any branch of your family hails from the UK, you should have a look here.
On the other side of the Atlantic, you can find a good 19th century (1845-1875) collection of historical directories from Boston. Again, the overall usability of the site is less than ideal, but definitely worth wrestling with.
A collection of historical directories for Brooklyn, NY, but also including Manhattan, Queens and Long Island, span a broad period from 1796 to 1955. I did not see any actual page images at this site. Instead, you'll find text excerpts from old directories throughout the NYC area, along with some links to similar listings at other sites.
There are a ton of historical directories at Google Books, like this copy of the UK Medical Register of 1868 or the 1911 Directory of Alumni of Princeton University. Or have a look at the 400-plus-page New England historical and genealogical register of 1921, just below. You can search or scroll through it right here (but don't scroll fast or it won't load...you're better off using pg dn)
You'll have to search the Google Books site for other examples of directories. Try using Advanced Search to look for terms like Directory or Register or Gazette in the title of the book, and set dates to focus on historical publications. You might want to try a similar search at the Making of America site, as there are many directories there also.
The Genealogy Indexer has a surprisingly robust collection of directories, mostly from East Europe (Poland, Hungary, Bulgaria, Romania, Galicia (Spain), Lithuania, etc) though there are also a few from other countries. The time span is broad as well, from the early 1800's to the 1950's. And I'm happy to say, I like the search tool here. By the way, there are some good non-directory resources at the site as well, especially for those with Jewish ancestors.
Ancestry.com (of course) has the largest collection of online directories, with more than 4,000 digital documents to speak of. They're not free, but worth noting just the same.
Visit the main page of Free Genealogy Tools for more, umm, free genealogical tools.
And don't forget to also check for your family history at NewspaperArchive.com, a subscription database, but one of the most powerful research tools available for looking into family roots.