The metallicity dependence of the Cepheid period-luminosity (PL) relation is of importance in establishing the extragalactic distance scale. The aim of this paper is to investigate the metallicity dependence of the PL relation in V and K, based on a sample of 128 Galactic, 36 Large Magellanic Cloud (LMC), and 6 Small Magellanic Cloud (SMC) Cepheids with individual Baade-Wesselink (BW) distances (some of the stars also have an Hubble Space Telescope (HST) based and Hipparcos parallax or are in clusters) and individually determined metallicities from high-resolution spectroscopy. Literature values of the V-band, K-band, and radial velocity data were collected for the sample of Cepheids. Based on a (V-K) surface-brightness relation and a projection factor, distances were derived from a BW analysis. Since 2008, additional radial velocity data has been obtained using the 1.2m Euler telescope located at the La Silla observatory (see Groenewegen 2008A&A...488...25G for a description of the data taking and data reduction). The new Radial Velocity (RV) data are presented in Table 3.