I never worked directly with an ad agency, but I did an internship with a big time production house (Crushing Music) back in 2002 (they are out of business now). I couldn’t get a job with them, so I tried freelancing for a few of NYC based houses. As UpFromTheSkie said it is high pressure, very competitive, need a great mix, with a quick turnaround. Freelancing can work if you find the right production house to work with. There are a bunch of them in NYC you could try.