It's all a matter of preference honestly but from my experience independents are more suitable if you're willing to do a little bit of research before hand and make sure she's well reviewed ( not just on AW, but preferably on this site. I don't trust AW reviews as far as I can throw them )
Agency's some would say offer a more consistent, reliable service, but for just a little bit of homework in advance I find you can get a service just as good while saving your wallet the stress, Agency girls can be significantly more expensive.
For a first timer such as yourself if you'd be more comfortable visiting an agency girl then that's understandable, that's what I did, but personally the risk factor is all part of the fun, diving into the unknown and all that.
Good luck, you won't turn back