I was wondering, I'm almost done with my first novel. Would it be wise to send it to agents first and then see if any of them want to take on my book or send it directly to publishing companies?
First of all, finish your first novel. Write it, edit it, etc., then start thinking about publishing.
It's almost a given that you have to try and get an agent. It's not likely a publisher will pick up an unagented submission, though it has been known to happen. Your chances are better with an agent. But an agent is going to want to see a finished, edited manuscript. "Almost done" is something that makes most agents smirk as they're printing (or, if you're lucky), writing out the rejection letter.
Some books recommend searching for agents and publishers at the same time. As a benefit, if you manage to get a deal, you might be able to cold-call an agent and get them to represent you. However, if you get multiple rejections from publishers, an agent will be less apt to take you on because s/he wouldn't want to resubmit where you've already been rejected.
Unless you're supremely confident (and ballsy), I recommend finishing your novel and finding an agent. Make sure you read up on agents before actually going after one. Find out what makes a good or bad agent, how to write query letters, how to write a synopsis, what drives agents crazy in submissions, etc. Find out everything you possibly can.
Also, remember, not every writer gets picked up on their first novel. As you're submitting for your first novel, start writing the second.