This article is from the misc.writing Writing FAQ, by Wendy Chatley Green firstname.lastname@example.org with numerous contributions by others.
Markets that only accept submissions through agents:
-- Mainstream fiction (not SF, romance, or mystery)
-- Screenplays and teleplays (studios won't read
unsolicited submissions for fear of copyright lawsuits.)
Most other markets still read their own slushpiles,
so you can cut out the middleman by submitting your fiction
directly. If you're concerned about your ability to
negotiate, you can always get an agent after you've made the
sale through the slushpile.
Markets agents aren't normally interested in short
fiction (not enough money in it).
Things agents generally won't do:
-- Rewrite/edit your work (they don't have time)
-- Handle several genres (e.g. romances and
screenplays and cookbooks)
-- Serve as a crying towel