I have a sub-directory that contains only a few pages. For SEO purposes, should I have a link from the index page of the sub-directory to the index page of the main site and visa-versa?

Also, on the other pages within the sub-directory, should they also have a link to the index page of the main site or just to the index page of the sub-directory?

yes please.. as much as possible..

What has SEO got to do with it?????

If you want PEOPLE to find the pages JUST LINK TO THEM!!!!!!!!!

Internal links are always a good idea, but I agree with chrishirst... focus on the needs of your customers/visitors.

The internal linking is highly useful for both search engines and visitors to your site.

Through internal linking you could refer your visitors to other related products or services you have for your visitors. It all also increases the chances of getting all of your web pages followed by SE bots.

Bread crumb is the most effective way of doing the internal linking of your web site.

Internal linking is great if your visitor needs it, or provides information they possibly want. But if not, in my opinion is a waste of time.