Congrats on Subscribing Xenon, there are so many things you can try out now.
There are a lot of benefits in joining an agency. First an formost you will meet new people to enjoy the game with. You also get the use of an equipment locker when you're promoted from rookie to agent (Every agency has different rules regarding the locker) Most agencies have a crime lab which will allow you to help others analysing evidence and them to help you in the same way. You will get an agency message board to talk to the members. Another great feature is the ability to store cases. You can either save cases if you dont have time to do them all in one day or if you are stuck on a case you can store it so your fellow team mates can assist you. And of course one of the biggest features in an agency is being able to compete in treasure hunts.
The most important thing to remember is every agency is different; some like treasure hunts whilst others like arch villain hunts, some like role play others don't. Search around a bit and don't be afraid to ask directors questions. Any good director will be happy to answer any queries you have.
Does that help some?