Las Vegas
Naturally I'm not a lady either but I can tell you what little I do know. vegasadultdirectory.com is a good one. The others would be eros-guide.com and cityvibe.com I think you would be wasting your money to go with more than those three, but they should pretty much cover the bases and give you the best bang for you advertising buck.
I don't discourage you from going the agency route to start up. They may have you waiting around a lot but it may help to fill in the gaps while you get your independant business going. And don't let people on here fool you: lots of well known independant ladies have picked up agency work from time to time when things were slow. They would not like it to be public knowledge, and that's understandable, but it's true nonetheless. Just try to not pick up bad business practises from an agency: don't let them talk you into shorting guys on time, cash and dash, impersonal service, etc. There is nothing, when working for an agency, to keep you from providing excellent services just as if you were an independant. Encourage everyone you see to write a review of you on here or on TBD or both. You need the word to get out that there is wonderful new lady in town 
While saving up money for a site, get some pics together and post them on a free site like yahoo where you can send prospective clients a link. Not for general use, you don't need the traffic hits on a site like that, but at least you can give selected guys access to some pics. Then post your availability on here and on TBD. You will be surprised at how friendly this crowd can be to someone who wants to make an honest effort. Good luck
Not a provider either but I do play a local in town .
There are a few ways you can run it:
1) Agency/bar girl. If you're going to do the agency calls, usually it means you need to be ready to go and be able to get to wherever in short notice. A lot of the bar girls hanging around the various casino bars tend to do the agency thing (just look at the women on mobile phones getting calls from agencies) and since they're already prepped and ready to go, it makes some sense. Generally though, most guys (surfing here and elsewhere) looking for value/service will look for good independents. A majority of the agency/bar girls are ripoffs and just want to make $$$$$$$$$$.
2) Get a clean bill of health and work the brothels. You'll be stuck there for at least a week (cause they don't want you playing outside the brothel and potentially getting diseased) and some of them nickel and dime you for everything. The house gets its base fee and half of everything you make. You'll be around 45 min from Vegas (if you work in Pahrump) or more (from Vegas, you need to leave Clark County).
3) Work as an independent. Get some pictures taken and put them up on the ad boards and your own website. If you value your reputation as a high quality provider, this is definately the way to go.
BTW, TBD=The Big Doggie.
Good luck,
Bob