You should be involved from the very beginning. Design agencies can produce excellent graphical comps for use on a Web site, but they often produce way substandard markup, scripting, and CSS. Frequently they will just mock something up in Dreamweaver and deliver that as the "front end". Dreamweaver provides a very leaky abstraction of all front-end coding. And their hand-coding is often even worse. Frequently they'll just job it out to another subcontractor you may not even see or be able to interact with.
Also, static comps have other drawbacks. All text strings are carefully trimmed to fit in the space provided. For example, they'll show you a nice narrow column full of names: Fred Sparks, Jane Adams, Bob Blume, etc. And each line fits nicely on its own line. They won't have thought through what happens when a name like Mokomowatowa Damamgassitavoski, which will distort the column dimensions or have to be truncated, etc.
Don't get me wrong, I'm not against good graphical design. I practice it myself. But you have to be engaged with the agency from the beginning, and be able to interact with them freely, in order to get the best work done and not to have your project turn into a living nightmare.