This paper introduces multi-directional local search, a metaheuristic for multi-objective optimization. We first motivate the method and present an algorithmic framework for it. We then apply it to several known multi-objective problems such as the multi-objective multi-dimensional knapsack problem, the bi-objective set packing problem and the bi-objective orienteering problem. Experimental results show that our method systematically provides solution sets of comparable quality with state-of-the-art methods applied to benchmark instances of these problems, within reasonable CPU effort. We conclude that the proposed algorithmic framework is a viable option when solving multi-objective optimization problems.