It's not pride... It simply opens up the market to publishers that otherwise will not take an "unsolicited submission" (and there are more every day - check Writer's Market). And I know PLENTY of authors that started with an agent as opposed to a slush pile. Ideally for a new writer you want someone with a few good, solid sales but not TOO many - as the "new guy" you might get ignored. Also, if an agent that looks good to you turns you down, don't be afraid to politely ask if they'd recommend someone - publishing looks large but really everyone reputable seems to know one-another and you can often get tips like "Well, I'm full right now, but So-and-So is looking to round out their client base - try mailing her instead".
Remember that an agent does not get paid unless they make a sale, so they're highly motivated to both DISCOVER you as well as work your manuscript into the best shape possible for the market they mean to sell to. Not a single author that had to make changes to their book to get a deal has ever told me that the changes weren't better in the long run (I was worried about this and I asked around).
Point is: have hope!
Tip: Subscribe to Locus Magazine, assuming you're writing Sci Fi/Fantasy (are you?). There's a page in Locus every month that lists who's selling what title to which publisher via what agent... You can skim for the publishing houses that you want to send to (as identified by Writer's Market and your research at the book store) and see what agent is selling to them. Start with the agents that seem to have a sale every month or two and then start sending inquiry letters. Usually a 2-3 page summary and the first 3 chapters are what you send cold to an agent, and then they'll get back with you if you hook 'em and they want more (just like a slush pile, in other words).
The biggest tip I ever got was:
"Rule #1 - Money always, always ALWAYS flows to the author and not the other way around".
Be VERY wary of any deal that wants YOU to pay money for readings, "preferred status with editors" or fee-based editing, as nearly every single one of them is a scam. To paraphrase King in "On Writing", if you're desperate enough to pay money to see your stuff in print then go straight to Vanity Press - at least the financial investment will somewhat pay for itself in the end product. I'm sure you already know that, but it's worth re-stating just in case others are watching this thread.
