That's not quite true. I'm HR and I use all of them.  It differs somewhat from industry to industry but I will use a headhunter when a hiring manager wants someone with a very bizarre skill set and who must be able to speak Polish and Mandarin and be willing to work nights, weekends and Christmas Day.  I don't have time for this so I job it out.

I use Internet boards when I am looking for common, everyday skill sets but some companies want agencies to prescreen candidates and then they hire temp-to-perm.

Before you jump through too many hoops with any agency, make sure that they cater to your skillset and that they are in the area you want to work in.  Its stupid for you to sign with an agency that caters to assembly line work and wants to send you 50 miles when you are an Accounts Payable Clerk and only want to work within a 10 mile radius of where you live.

You also want to become very familiar with your state's Employment Development Department's website.  Many top companies will post there and often, nowhere else.