It's just like booking with your own travel agent only they will let many compete for your business. Pick the one with the best price or best perks offered and deal with them going forward. I have booked through them many times without issue.
Usually the price difference comes from add ons; one offers free wine, one offers $25 OBC, a third simply gives you the cruise for $25 less. Personally I'd rather pay $25 less than get $25 OBC since more than once I've had issues with the ship not crediting my account. You get it eventually but who wants to wait in line and argue with them while on a cruise.
Sometimes there are big price differences when one will get a sale price the others showing the older price. For instance VTG will frequently have a one day sale and you will not get the same rate through the cruiseline or some internet sites but some agents will have it and not others. Whether thier systems are slower or whatever the reason I see it often.