Well I find that the easiest way is to book online, no holding for an agent, no need to provide all of your information to the agent as the online system will remember it for you, and no mistakes other than the one's that you personally make.
On the other hand, you cannot pick your room #'s via the online system. If you want to pick your room, then you must call, and yes you can request whatever number you want. However, it is important to note that requesting a specific room could raise the price on you. The reason, you could be jumping cars if the room you requested is already booked and jumping cars could lead to a higher price.
A good agent will warn you of this, but a newbie or a lazy agent may not. So if you do make your reservation that way, you should make sure that you know what the current lowest price is, before you call up. That way you can decide which is more important, having the room you want or saving money.
It is also possible to book online, then immediately call up and have an agent tell you what room was automatically assigned and get it changed if you don't like the room # that you got. But again, make sure that you confirm first with the agent that changing the room # won't increase your costs. If you try this approach though, don't wait to call, do it the same day that you book through the online system.