Some people like to be the big fish in a small pond, while others are the opposite. I think it’s worth thinking carefully about which type of agency will suit you best. If you’re not too confident about your earning potential it may be better to avoid big places with a lot of competition.
Yes, this is really important if you are going to make a good start in the job and be able to keep on doing it. Some people like the personal touch a smaller outfit offers too, I know I appreciated that at the beginning.
I have changed agencies twice, since I started. Not all of them are the same, in my opinion. Some are friendlier than others, some pay more, they each have good things and bad things to offer, you just have to look for one that suits YOU.