Agave's good--since it's natural, I trust it much more than stevia or nutrasweet or whatever. I've been baking with it for quite a while (made some tasty whole wheat banana muffins last weekend) and it does a good job. When a recipe calls for sugar, use LESS agave nectar because agave's significantly sweeter--1 cup of sugar and I'd use less than 2/3 cup agave. Because it's liquid, you also have to play with liquid-solid ratios. Takes a little bit of work.
HOWEVER: it's still sugar! Just in a form with a low glycemic index that won't spike your blood sugar as much. Calorically, it's still pretty dense, and has the same triglyceride problem that a lot of fruit has.
If you want to get the benefits of a sugar with a low glycemic index without the liquid/triglyceride downsides, try coconut palm sugar. That's what I've been gradually switching over to. It's also a bit cheaper. My goal is to start only using agave where you'd use syrup or honey--on pancakes, say. So, at this point in my diet, not that often.