Nanny / Mothers Help as you really want someone who knows what they are doing with newborns and can help give you confidence.
Make sure that you really like the person as personality comptability is really important where you are both at home.
Agencies are expensive and the quality is . However, do be aware that they just advertise for candidates on websites/ papers where you can have access. I registered with an agency, the next day my job was on a website. All they do is to check references for any one who applies for a job and then filters them through to them. Also i would question how rigorous there questioning is, I gave a pretty bad reference to one agency for one nanny and they were definitely trying to focus on the positive.
If you are in London a great website is thegumtree.co.uk - it has loads of ozzieskiwisSA's etc looking for a work. Another one I used was nannyjob.co.uk.
It is hard work doing it yourself but not really any harder than interviewing through an agency as you still have to sit through the interviews.
It is really important to be prepared. Find some info on the right sort of questions to ask, think about the sort of person and regime that you are looking for. Also if you have a friend who has employed a nanny/au pair/childcarer get them involved.
Before kids I was clueless now three nannies later I much more sharp on the whole issue. There are some great childcarers out there and it can be a very positive experience for the whole family - so good luck with whatever you decide.