I use a program called ProCD. It's got residential and business listings in it for all of the U.S. and Canada. The only problem is that they're from 2004. I've been meaning to upgrade but the CDs are expensive. I think I paid $199 for the U.S. discs back in 2004. And then I found the Canadian disc on Ebay for about $20. There's a ProCD website but it's design is horrible. I looked at it earlier this year and couldn't even find the CDs I have for sale on it. The program interface looks like it was designed for Windows 3.11, but it works great. It says you can only export a certain amount of listings to an ascii file, printer or to the clipboard. After that you have to start paying ProCD to print out the listings that you find. What a scam. But I've never had a need to export very many listings.
There's definitely an advantage to having the whole database on your computer instead of having to search online for them. Doing quick reverse searches on addresses is very useful. And being able to quickly find out all the area codes and prefixes for a given city. Pluls you can use partial spellings and wildcards to figure out how to spell complicated last names or street names.
Back in the 1990's, you could buy phone book CD-ROMs in computer stores and office supply stores. I'd see some for $30 and others for $100. But ever since the internet became popular, nobody wants to buy them anymore. It's been years since I've seen phone book CD-ROMs in a store.
If you want a copy of these from 2004, send me your infoz and I'll mail them out.