No disadvantages unless you have some conflict w/agency policies. Some want you to share passwords, for instance. good to ask when 'interviewing' what they expect.
Mac has done a good job on advantages. also see mod pics on general advantages to subscribing - including featured mysteries and being able to travel to other cities (neither of which require being in an agency).
As far as joining - most agencies need good active new recruits from time to time, so you will be in demand. Check out the recruiting message board, or post on it and wait for the invitations to roll in. You might want to check the different agencies in the new City Hall link. And you might want to pm agents you like on forum or sleuth chat to learn more about their agencies. Good luck with it. I think you would enjoy playing in an agency. You may see folks switch agencies or start up thier own (a lot of work, btw) but you rarely see someone drop out of agencies and go back to playing solo.