Sveva, I hesitated to reply to this posting as I figured there were so many other photogs on the site with vast experience (owing to the fact that most are never satisfied with their agency and thus tend to move from one to another) and they would be better qualified to advise you. Interesting that no one bothered to respond, and I suspect that people might feel rather vulnerable on this point for a variety of reasons. I am a member of Black Star, a once great agency that has been declining now ever since the death of its visionary leader Howard Chapnick, so I dont recommend that you consider it for now, but as I too am in the process of making a move, I have thought about the matter alot lately and can offer some meagre help.
If you could be more specific about the work you do and what you are looking for, I (and others here) might be able to give you more pointed and helpful advice. I would say this, however, to start: in addition to having lots of good material to bring to an agency (so you should be working hard to develop and shoot news stories or documentary stories with a newsy angle that would interest them), you should also be located or somehow connected to some region of the world that provides material that can sell. Living in New York might be ok for now, in order to meet people, make connections, perhaps make the rounds of the magazines etc, but most agencies would prefer to have their photographers located in or connected to the far flung corners of the earth in order to maintain a global reach. You can see from this very site that too many photographers congregate in New York, and that can become a trap, as it is very expensive to live here, and the little money you make shooting is instantly eaten up by rent and food and transportation, so you never get a chance to travel and shoot and do extensive stories. I know several people whose careers were stunted as a result of getting trapped in the cycle of assisting or stringing for the Times and then having to pay out for the dubious privilege of living in New York.
Two, you need to figure out just what sort of photography it is you want to practice and which agencies would be likely to take you on. This means not only knowing who you are as an artist/reporter, but also understanding the character of the various agencies. Now it seems to me that there has been some big changes in this business, partly due to the digital revolution, but also due to various changes in the financial and organizational structure of the agencies themselves. Whereas when I started out there was more of a range or sliding scale in terms of the size, reach and internal functioning of the agencies, nowadays there is a greater polarization, with mega agencies like Getty or the wire services on the one hand, and boutique agencies on the other, these latter depending largely on the already established fame of the handful of photographers they support in order to bring in business. The big agencies also tend to be subsidiaries of larger corporate entities, while the smaller “boutique” agencies are either cooperatives (Magnum being the most famous example of this, VII is another, but there arent too many of these) or owned and led by one or two people whose charisma and reputation act as both an imprimitur of quality and a valuable sales resource (Marcel Saba, for example, is well loved by editors, so he can help his photographers to get work). The agencies at this end have to struggle to survive and it is getting harder for them to do so. Also, it is much harder to get into the ranks of the smaller agencies, so one is forced to start out with the bigger (and more anonymous) ones, though if you happen to bring in a big story or have some particularly explosive material, you might pry open the door at one of the more exclusive agencies. At any rate, the type of agency you join can have far reaching consequences, so it is a good idea to reflect on your needs and nature in order to select one that works for you.
Things however are still in flux, as evidenced by this very website and also by the general enthusiasm for new means of distribution such as Digital Railroad. Many here are obviously hoping to take advantage of the web in order to set themselves up independently, in effect become their own agency, which is not impossible and may eventually become a more common phenomenon, though as yet it is a reality only for those photographers who are already established (Salgado being the most famous of these). But agencies are a valuable resource for photographers insofar as they mediate between you and the many editors out there who could potentially employ you (though you have to share much of the proceeds with the agency). And then again, an agency would like to have photographers who bring with them a network of editors and others who already have worked with you.
All this is just general, and you may have figured it all this out already, but if you have a specific list of agencies in mind, or desire more specific info on particular agencies or strategies for promoting your work, we can take it from there.
PS, I recall that you were looking for a room in NYC, preferably a big space in Bklyn, current cynosure for hipsters, but I do know of a room that will become available I think in May, and it is affordable by New York standards. The room itself is small, but the aparment is nice enough, located up in the Columbia university area, and on the top floor of the building so there is light. If you want, I can pass along the contact info to you. The neighborhood has its advantages, I lived there for many years.