Hey Phydeaux,
All three are great, so it depends on your primary role for the gun.
Both the Cobra and the Agent have an alloy frame. The older 1st generation Cobra has a longer grip frame than the Agent. If you are looking at the later guns with the shrouded barrel, they all have the shorter grip frame. For front pants pocket carry, I recommend the Cobra or Agent. The only downside is that Colt recommends limited use of +P ammo in these guns.
Colt recommends inspection after every 1000 rounds of +P. Personally, I use +P ammo for carry, but practice with standard pressure ammo. I usually shoot one cylinder full of +P at the end of a range session.
The Detective Special is steel and therefore heavier, but it will stand up to more +P ammo. Colt recommends inspection after every 3000 rounds. The DS is, in my opinion, the greatest all-around snub.
They all have the same lockwork, so there is no difference in reliability. I would probably start with a Detective Special. You'll shoot it more.
I have two Dick Specials and one Cobra (looking at a second Cobra now). The Agent is next on my list. The bottom line is that you just have to save more money so you can have all three models