Now, anyone who's read my profile will know that I used to be a recruitment consultant - which seems to be kind of on par with admitting to being a traffic warden, lawyer or wicked witch of the west. Recruitment consultants have a bad reputation for lying, sneaky behaviour and trying to take your money - all of which can be true but not exclusively, you just know how to handle them to get what you want, because in many circumstances they are a necessary evil to getting a job. And the uncomfortable truth is that the sneakiest recruitment consultants are often the best and most successful ones - and therefore the ones most likely to get you a job.

First rule - walk the fine line between letting the consultant get everything out of you and not telling them anything for fear of them stealing your jobs.
When a recruitment consultant asks you where you are interviewing, it is for no other reason than to find the job themselves and fill it. This is a bad thing, right? Well, not necessarily.
The consultant who asks these questions and chases the answers is more likely to have jobs for you. The job they get you may well have been found out about from another candidate, so if you do get asked where you are interviewing, or where you have been, don't tell the consultant about jobs you're going to which you think you have a shot at, but do tell them about jobs that you've heard about and that aren't right for you or that you've been rejected from. They can help find another candidate jobs from this info, and find you jobs from other candidate's. Sometimes consultants will tell you about fake jobs to get information out of you - this is a particuarly bad technique as it gets your hopes and expectations up. It might be worth telling consultants you want a full emailed job-spec or company name before you will offer references or info.

Second rule - don't mess consultants around, such as not turning up to interviews, lying about your references or taking another job after accepting theirs. Not only will they not use you again, but you'll also have made some poor new consultant 3 months into the job get the _____ing of their life from their manager and being forced to stay in the office until 10pm for the next three nights trying to refill it. Recruitment is not an easy or nice job, and consultants are people. Be nice! Also, in certain industries (eg engineering) consultants are known as valuable contacts to the managers, and they will tell the people that matter outside the company that you messed them around, and word spreads.

Third rule - when the consultant asks what the least money you will accept is, don't tell them what the actual least money you will accept is, leave some leeway incase they try to barter you down. Some agencies work to a percentage (eg, they get 10% of your wages), some agencies work to a total budget - so if they company gives them £30/hour to spend they will try and give you as little as they can to make the biggest cut. It's the last kind you need to watch out for - ask them how they make their money, and if they don't answer ask the company at interview. Remember that some very good agencies command a very high percentage, so even if the amount seems incredibly high that they take (eg, the company tells you they've given the agency £30 and you've been offered £20), don't argue unless you really are unhappy with the amount they're giving you, they're not trying to take you for all they can get, that's how they (low volume high profit) agencies make their money. But keep it in mind incase you get suspicious - I had a few cases where I knew I could have given a candidate more money per hour but was not allowed by my boss so as to make more money. I hated that (there's a reason or few I left!), but it happens a lot.
Forth - chase the agent. Sometimes, I'd have an ad response buried in my inbox and wouldn't get round to reading it until the candidate called as it just hadn't come up in my search. Don't be a pest, but make yourself a priority - don't presume your CV will be seen as computer systems and people can be fallible, and I got jobs for a few people who's CV I would have unintentionally overlooked if they hadn't called to draw it to my attention.

Some agencies are terrible, some are great, and it's very hard to tell as often the most ruthless ones are the best as they work the hardest, get the best results and get more people more jobs, and unfortunately that does mean they probably are spending their days trying to rinse candidates for information. Lastly, it's true that some consultants are bolshy, sales driven, money hungry people, but recruitment is not an easy job at all, so try not to be too mean to the voice on the end of the phone!

Respect them, be honest with them, tell them you know how it works and will give info if they prioritise your job hunt and keep in touch.