Being in an agency can really help you expand you sleuth experience.
You get to help each other out with cases, participate in treasure hunts, and so some roleplaying on the message boards if so inclined.
Some agencies are more involved in hunting, others like the roleplay and community aspects more.
I think that some of the criteria for joining an agency are how the directors of the agency respond to your questions about them and what they want from you. PM a few and see what they say about thier agency.
There are many smaller agencies that would be glad to have you I am sure, as well as older established agencies.