At Litquake Palo Alto last Sunday, where I was on the Breakthrough Novelists panel, an audience member asked each of us how we got our agents. When it came to my turn, I said, "I don't have an agent," and was passing the mic along when several people shouted, "Wait! Then how did you get published?"
The answer: a small press. Many people don't realize that small presses, including my publisher, Bona Fide Books, will often accept unagented submissions. Small presses are also awesome because they exist to take chances that larger publishers can't afford--on unknown authors and odd, hard-to-categorize books (like mine). The publishers are almost always writers themselves, and they love literature. They're not in it for the money, but to keep what they love alive.
Poets and Writers has a small press database, which is a good place to start looking. Another fun way to get acquainted with small presses is to play Small Press Roulette. You send them money, and they send you a grab-bag of small press publications, including books and zines. Look what I got!
All that said, however, I do plan on querying agents for my new novel, starting this fall. This book is a tad more mainstream, I think, and I certainly would like to reach a larger audience. At the same time, though, I'm going to keep the small press option on the front burner, because I've loved the whole experience, and I believe in the mission.
Think of it this way: if you like independent films, you'll like small presses, too.