I think it's wise to start out working with a few different companies when you first start out just to get a feel of what's out there. For example I have had good experience with CompHealth in the past, but have heard others complain, so I think some of it depends on who your recruiter is and who has your file in the office to get you through licensing and credentialing and then booking your travel/accommodations.
The big things to look out for in your recruiter is how well they listen to what you actually want. There are some out there who will lie just to get a spot filled. When I really needed locums time I was willing to do some peds hospitalist work (though I'm PICU trained), but didn't want to do newborn nursery coverage or have residents...and had a recruiter place me into a spot where that was the nearly the entirety of the position and there were family medicine residents to supervise.
I put my contact information into some of the online databases and to this day get calls from new companies all the time, some have even managed to find my parent's home phone number and have called looking for me at a number that I haven't been at in over 18 years. But again, I've heard people rave about the experience they've had with that particular company so it seems very hit or miss.