I never even tried to write a short story until after I'd sold my first novel. And I have to say that I know at least as many writers who have broken into print writing novels as I know writers who started out writing short stories. (Keeping in mind that all of my experience and most of my knowledge of publishing comes from the SF/Fantasy genre, although I do know some writers who have ventured into Romance and Mysteries. When it comes to mainstream, I only know the most basic basics that apply to all kinds of fiction.)
One thing that limits the markets for new short story writers is that most of the theme anthologies being published are invitation only -- which means that you either have to have credits already, or to know someone who is putting one together. Magazines on the other hand, tend to be open to unsolicited submissions. For short stories you not only don't need an agent, most agents won't even handle them, deeming the ten percent commission on these not worth their efforts.
As to whether or not you need an agent to sell a novel, that's a very difficult question to answer these days: Until you've been published, you probably don't want any agent who would have you as a client. On the other hand, it's getting harder and harder to get editors to look at unagented submissions. For one thing they're afraid of being blown to bits by bombs disguised as manuscripts, and for another they're afraid of law suits, should they ever in the future publish anything vaguely resembling a manuscript they've already rejected. I'm afraid that this trend is going to make agents so vital that their percentages may start to go up. (So with that in mind, it might be a good idea to get one if you can while they're comparatively cheap.)
However, while you aren't supposed to submit to more than one publisher at the same time, there is nothing wrong with submitting to agents while you are submitting to publishers. (And if an editor shows an interest first, you have a better chance of getting a better agent to take you on.) I definitely recommend bringing in an agent if you haven't one already, as soon as you have a contract on the table. It's not so much that a reputable publisher will cheat you, as it is that an agent will know which items are negotiable and which aren't, and also, even though an agent probably can't get you much more money the first time out, the money you get on subsequent contracts tends to be predicated on how much they gave you last time (even if your book sold really, really well) and in the long run this can make a big difference. Also, books they pay more for, they tend to promote more.
Whether or not to begin by submitting to small or large publishers depends on what your goals are. As far as I know, each way of going has its own list of headaches. And while you do have more control and more interaction with a small press publisher (and it's certainly not a bad place to hone your craft), unless you have superior marketing skills like Mark and are able to bring in far greater sales than is usual with small press or self-published authors it's not usually a stepping stone to bigger things. However, there are some smaller publishers on the rise, like Meisha Merlin -- whose books you can buy everywhere here in the US, although they are still a small house known largely for reprints -- and it will be interesting to see how many successful careers they are able to launch as their distribution increases.
All publishers, large and small, receive many, many more manuscripts than they could ever publish, and all editors have to turn down a great many stories that they really do like. Whichever way you choose to go, persistence in the face of rejection may be the one big difference between ultimate success or failure.