There does not seem to be anything wrong with giving businesses free advertsiing by listing them on your website. One area that you may need to be concerned about it using those businesses' trademarks in your listings, but you can nominatively refer to them so that they can be identified.
Disclaimer: Please note that this answer does not constitute legal advice, and should not be relied on, since each situation is fact specific, and it is impossible to evaluate a legal problem without a comprehensive consultation and review of all the facts and documents at issue. This answer does not create an attorney-client relationship.
While I don't have a specific law to point to, it would appear that you can list them. Certainly many sites list other sites and businesses without their prior approval. I suspect that most businesses are happy for the free listing and advertisement. However, if you later tell them that you're going to delist them if they don't pay you to stay on your site, I think that may not only fall into the unethical, but perhaps illegal area, although I wouldn't count on it. It just strikes me that way.
