Have you already written a novel? If not, you don't need an agent yet, and you can't really get one without having a novel ready for them to look at.My personal boogieman is "How to find a (more or less) honest agent who can actually get the job done?" as it's my understanding that without one you are dangling in the wind-very little chance of being saved from the slush pile, y'know what I mean?
You also don't need an agent for short stories.
If you have already written a novel, you might look at Locus (go to locusmag.com online for the online version, but note that this part I'm about to talk about only appears in the print version). There's a section up front in each issue with genre publishing news. It says "author x sold a 3-book deal to publisher y via agent z." Try to get a picture of which agents represent which kinds of fiction (i.e. hard SF, fantasy, horror), and target your submissions accordingly. If an agent named there is already representing several established authors in the field, he/she is likely to be honest and competent. Look for their submission guidelines online.