Your web analytics are being held hostage
Since the idea of measuring web performance is still a relatively young concept, agency employees who are more familiar with analytics interfaces will often set up a web analytics account for their clients. While it seems nice of them to offer, more often than not, many agencies do not have the client's long-term interests in mind and will set the account up using agency information. When it's time for the client to change agencies or take the responsibility of managing web analytics in-house, access to the account will be limited with no administrative access.
This is an enormous problem. All brands should have administrative access to their own web analytics data. No agency should be setting up a web analytics account for a client without the client owning the data and access to the credentials. When a partnership between an agency and a brand terminates, or if the brand wants to share data with other vendors or agency partners, the brand should be in full control.
Your agency says "Yes!" to all of your requests
I know what you're thinking. "How is an agency that completes all of my requests lying to me?" While the agency may not be outright lying to you, it certainly does not have your best interest in mind. Does your agency offer a point of view with supporting data on why you should (or shouldn't) be participating in something that you've requested? Do agency reps push back on any of your requests and offer alternative suggestions that are more suitable for your brand and goals?
You hire an agency for its collective expertise and experience. "We originally thought that would work too, but in our experience it has failed miserably," and "Our assumptions were wrong, and here's the data to back it up," are examples of things that your agency reps should say to you. If you don't hear "no" with a clear explanation on some requests, then your agency is not thinking strategically for you and your brand. Agencies should be viewed more as a strategic partner than another vendor that does work for you when you're too busy. If the agency is not able to offer this kind of guidance and support, then it's not a right fit for your brand.