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Directory links aren't worth very much link value to begin with, so I wouldn't invest much time in them, if any. Links from sites that are in your country are generally the best links to get, but a good link from an international site is still a good link.

I think both directories are overpriced for the value they offer, but it can be worth it if you have the budget. It also depends on what category you are submitting to-- some category pages have higher authority than others.

Link building is a necessary task, as links are still the primary factor that Google looks at when evaluating your site.

I would go for the highest PR links you think you can get. PageRank is logarithmic, which means a PR3 links is roughly 100 times higher on the PR scale than a PR2 link. It can be easier to approach smaller sites when you are just starting out, but if you have the chance at getting a PR5 link, that's worth a lot more than getting a dozen PR2s.

I've used various directory sites such as Zvents with no problems. If you can, try to use a different description on the event site than you do on your own site, this will keep your site from running into duplicate content issues, as well as help the content on the event sites get indexed.

Including links is somewhat risky in the post-Penguin world. You should be fine as long as you don't overdo it, but sites like Zvents will syndicate their event listings to dozens of other sites, so you can quickly end up with a bunch of links pointing to your site. If you're worried about Penguin, using the URL as a link is a pretty safe approach. Just don't be spammy about it and go submitting those links to hundreds of sites, they probably don't carry much link value anyway.

If directories are all you can think of, this list should get your head buzzing with new ideas:

http://pointblankseo.com/link-building-strategies

Google has devalued sitewide sidebar links over the years, but they shouldn't be hurting your SEO. However, if you want to pass the maximum amount of link value, you'll want to include links from within relevant pieces of content rather than throwing them in your navigation.

Definitely don't use nofollow. Using nofollow won't solve the problem of having too many links, and will just end up hurting your site. It is almost never a good idea to use nofollow on internal links.

What you should consider instead is to have navigation that changes in response to what section of the site the user is in. For example, if the user is in the automotive category, it makes sense to have links to tires and oil, but it's not necessary to link to a subcategory for perfume. Having contextual navigation is great from an SEO perspective, and also provides for a better user experience of not overwhelming the user with a hundred choices.

That being said, limiting a site to having 100 links per page is a very old Google recommendation and is not a hard and fast rule. Having a lot of links on a page makes it more difficult for Google to crawl and dilutes the link juice on a page, but is sometimes necessary. Amazon.com, for example, has 300+ per page. How many links Google is willing to crawl is a factor of your site's Pagerank.