I would avoid Craig's List until you get enough experience under your belt to decipher and separate the good from the bad. As far as your other options I don't think any of them, in and of themselves, will have much effect on how much fun you have. There are many great lady's out there both agency and independent. Beware of agency up sell depending on where you are located.  Some girls charge more for out call so that may be a consideration. I currently have two favorite ladies, one is an independent who I do out call with, the other is an agency gal that I do in call with. It's the singer not the song in this hobby.  Find a lady that you like and can trust, the rest will take care of itself. Good luck and have fun!

Do some research here and you will find numerous posts saying avoid CL, ladies with less than 3 or 4 reviews, etc.  Use the search function.