Personally, I've always been attracted to working in an agency. Despite hundreds of people I've talked to that say they never wanted to work in an agency, something about it always drew me in but I could never really put it into words. I think the best way to describe the distinction is that an agency lets you learn a little bit about a lot of different things, while in corporate public relations you become an expert on one company or client. In other words, your level of expertise is more shallow (but wide) in an agency while it goes much deeper (and narrower) in a corporation.
There are tons of differences when it comes down to day-to-day work between agency and corporate life. One interesting point I never thought of was that in an agency you're surrounded by peers that are doing the same kind of work as you are (fostering a team environment), while in corporate you're the go-to PR expert and your peers work in other areas of the company. Agency life is also different as far as time management, since you're often multitasking but have to record your work (usually in 15 minute time increments)
From my understanding, there is no clear "better" place to start your career, however starting in an agency can expose you to a lot of different options before you settle down in one area of the industry. I've always seen myself starting out in agency just because I do have such a wide variety of interests and I like learning random new things. However, there is a business-side to working in corporate that I think will eventually draw me in that direction. In addition to my PR major, I'm earning a business degree in management and think it would be interesting to eventually to more management-related work in a corporate setting.