If you are a total newb and thus have no references, you might have better luck with an agency.  Otherwise, you will have to look around and find well-reviewed providers that advertise they are newbie friendly.

Finding some in your area may prove to be difficult.  In that case, you might be asked to provider some personal info, like your name, where you work, etc, so she can verify you are not LE.

In your situation, it is hard to say which is safer.  Personally, I have never used an agency, even when I first started out.  One thing you can do to get yourself known is to start posting on your regional board.  That will help establish your legitimacy with providers.  

To answer your last questions, imho, the indie's are safer and more private, but that's just my feeling.  Others may disagree.

Good luck,
Swim

Your first experience should be one to build your "hobby" on!

I do know of a few good agency girls in Chicago, however and independent girl tends to be more personable. You can also contact her directly prior to and after the appointment (for another appointment or for one on one feedback).

Self proclaimed VIP independents ($$$ plus) will tend to go out of their way for a newbie. We want as many of you to enter the "marketplace" as possible (and stay).

Just stick to the well reviewed until you get your toes wet and you'll be fine.

Good luck!

xoxo
VC

I have found this to be the way to go since day 1.  Others may have differing opinions...listen to them as well, and then decide what works best for you.