Some agencies are very good... others may do very little. Some nannies will only deal with agencies, where as other nannies will deal with agencies and families directly.
The cost of recruiting direct is a lot cheaper now with internet ad boards than it was in the past. Before the internet became popular, you would have to place adverts in local newspapers which cost quite a lot. These days an advert online can be had for £10 a month, or less.
Agencies can be good at screening candidates. A good agency will only put forward people who fit your specific requirements. They will talk to you first about the candidate, see if you are interested... then they will contact the candidate and see if they are interested (they may send the nanny a Family Profile), then they the agency will give you more information about the candidate (such as a nanny profile, or CV). Once you and the nanny are both thinking that it sounds the right match... then the agency will act as a go-between to arrange for you both to meet in person. The agency should also be able to provide you will lots of information regarding employing a nanny. I would hope that they tell you about payroll agencies and let you know details of several. If they only tell you about one payroll agency... consider that to imply that they are being paid commission for that referral, so just ask on here for details of other companies so you can compare services.
Why a nanny share? It can complicate things quite a bit... such as finding the right matching family, agreeing contracts with that family (covering things such as if one family wants to leave the share, what happens about holidays, whose house the care takes place in, who pays for what).
Popular nanny job sites:
nannyjob.co.uk
childcare.co.uk
gumtree.com
Trust your gut instincts when you meet a candidate... finding the right nanny is very hard, nothing concrete to determine the right nanny from the wrong nanny... it's more gut feeling. Consider how well you get on with them, how well your children get on with them.