If you want to try a different variety of SP's, then agency is the way to go. If you are doing incall, then Euphoria, XO, Nadya's & MTLGFE come to mind that I've used and would recommend. Outcall, you can add Vogue & XXXtase to that list, they are also very reliable (sadly only outcall though).
If you want to have a more regular connection, you can do it through agency, but keep in mind that especially for the popular agencies, the SP's book up super-fast. So going agency means you don't get your ATF each time. The other issue is that turnover affects agency rosters, so if you get attached to 1-2 SP's, you have to do some work if they go somewhere else (SOL if they retire or semi-retire, and don't advertise publicly).
Indy definitely provides a hobbyist "foreplay" experience (text/chat directly to SP, and often can get a little build up before), and if the SP is available, offers the chance to book with fewer competitors. On the flip side, if they suddenly become unavailable, you don't have an easy plan B available.
I've done both agency & Indy, and they definitely both have their pluses and minuses. I think it's more important you zero in on what you are looking for, and then try to find the right Indy/agency fit.
Good luck,