In my experience, it's very hard to making a living as an 'agency' unless the only value you're adding is to your developers - you leverage the arbitrage between the rate you can bill and the rate you can pay them, in return for a steady paycheck.
I've worked for and with ~20 agencies, including one as a founder and one as a co-owner. In each instance, those that were able to leverage their employees succeeded and those that relied on having talent did not.
It's a very sensible outcome. If you were working at Microsoft or Google, you would be earning ~10% of the value you created for the company. In service, that number is much closer to 50-75%, which is very dangerous unless you can guarantee you're going to make your sales numbers.
It's a great way to get some business experience, but I wouldn't recommend it as a long-term strategy.
It's also important to note that the major ad agencies are moving into the web world. Locally, the regional newspaper, three local radio station companies, and a billboard company are all getting into web development as an added service or for profit. It makes things difficult because they're capitalizing on the medium-to-large agency contracts (the ones that have a web site, TV ads, radio ads, newspaper ads, etc), which are usually the highest margin contracts (lowest ratio of account management to projects).
My advice to you would be to start a consulting company and build relationships with a network of web development agencies. Some of them will be able to afford your rates while others wont, but you wont have to do the hardest part of sales and AR will be much easier because you'll have much more established relationships with these companies. You can also do work for agencies all over your country (or the world) if you are a respectable consulting group.