"Throughout the history of commercial life nobody has ever quite liked the commission man. His function is too vague, his presence always seems one too many, his profit looks too easy, and even when you admit that he has a necessary function, you feel that this function is, as it were, a personification of something that in an ethical society would not need to exist. If people could deal with one another honestly, they would not need agents."--Raymond Chandler
"The agent never receipts his bill, puts his hat on and bows himself out. He stays around forever, not only for as long as you can write anything that anyone will buy, but as long as anyone will buy any portion of any right to anything that you ever did write. He just takes ten per cent of your life."--Raymond Chandler
Agents serve a very good and specific purpose for the writer--they do the job of representing your book out in the world. It is their job to know what that world is, and how best to enter its buildings and homes. You can indeed do this yourself, with some research and some networking and some personality. But, this is time you might better spend writing. That's where agents come in.
Various genres need, and don't need, agents. In poetry, for example, the use of an agent is not common. A well-known writer might work that way, especially if this writer has had some success in prose. But poetry in general works without agents.
Fiction writers are another story. For novelists especially, finding and working with an agent is an important step. A first novel can find some success through contests or special circumstances, but novels in general are best served by agents. They are big projects and take real, professional time.
Short story writers are caught in between. For whatever reason, short story collections, especially now, seem difficult to place. Agents and publishers always want to know if there is a novel in the drawer. Short story collections are probably evenly split between being represented by an agent and not. First short story collections are likely on their own, unless a story wins a big prize, or there is some special interest in the subject of the collection.
DVICE. Sometimes, agents can get in the way. While I think this is relatively rare, selling books is nevertheless the way an agent makes money. The more money an agent can get for the book, the more money the agent receives as a commission. This is a perfectly honorable bargain. But, if the agent starts to hold pieces out of anthologies or other publication venues, while you may end up with more money, your work may not get out into very many places. These are decisions you have to be clear about with your agent, whether it's money or inclusion that is the determining factor for you and your best interests. Be sure your agent knows where you stand.
"If God had an agent, the world wouldn't be built yet. It'd only be about Thursday."--Jerry Reynolds
For new writers, there is no simple or easy way to find an agent interested in your work, though, ironically enough, finding new writers is what agents talk about all the time. The process is more of a choreographed dance than a bullfight--rushing right in, saying sign me up, and flopping your 400 page manuscript on the desk doesn't work very well.
Further, various agencies are now going the route of contests, charging fees for looking over your work if it is unsolicited by them. This trend will only increase.
Agents are listed in various sources, such as Literary Markeplace, which appears yearly, or a fine new publication from Poets & Writers, Literary Agents: The Essential Guide for Writers, by Debby Mayer (see Poets & Writers website at http://www.pw.org for more information).
DVICE. Again, remember the basics. Be publishing individual pieces or sections where you can. Enter appropriate contests. Get some publication credits. Do some literary legwork. Then start with query letters to agents, just like you would to publishers. If possible, go to the places where agents go--conferences, workshops, retreats. Tell all your friends you've got a manuscript that's ready, and that you're looking for an agent. It's not as dire as it sounds, but this process does take some work.
Talk to people who have agents. They may actually be your teachers.
Also think about writers who have some resonance with your own work, and find out who their agents are. This at least gives you a starting point, both for yourself and for any conversation you might have with that agent.