Hi
You don't say how old your puppy is, but most agility classes won't take dogs until they are at least over a year old - for large breeds, sometimes over 15-18 months old. This is because the puppy's bones are still developing and you can damage them by doing jumps etc too early.
I would recommend that you join a very good, reward based, general obedience club. Maybe one that does the Good Cits awards too would be good. Try to get to a good level of general obedience before you think about where you want to go after that. It is so much easier to train a dog in most areas if it already "knows" how to learn and how to work with a handler.
Puppy socialisation classes are classes where the goal of the class is mostly just puppy socialisation, with lesser emphasis (if any) on training. But they are invaluable for ensuring you end up with a dog which is friendly to other dogs - nothing can replace early socialisation, I believe (of the right kind of course).
Personally, I believe in taking mine to puppy socialisation classes from 7 weeks to about 10-12 wks. Then immediately beginning the first puppy training class. I actually take them to between 2-3 puppy training classes a week until they are about 6 months old, because I don't think that exposure to other dogs just once a week is enough - for me, personally. I then go back to one class a week and progress through all of the Good Cits awards. I would say this takes between a year and 18 months, depending on the dog. During this time, I am assessing the dog - what it's strengths are, what its weaknesses are - what it enjoys doing or hates doing and how much it likes to "work", and for what (what are the rewards the dog likes most). Based on all that, I decide what the dog would like to do next...
Please have a look at the following sites to find some trainers near you:
www.apdt.co.uk
www.clickerteachers.net
www.obedienceuk.com/viewprofile.asp
www.dogclub.co.uk/regions/index.php
If you are interested in agility, you might want to check out this site:
www.agilitynet.com/
By the way, many good agility clubs have waiting lists of years (literally) so it might be a good idea to put your pup's name down now, so that by the time you've finished all the basic training, you're ready to go!
PS - Just saw you're in Gloucestershire:
http://www.puppytime.co.uk/ (In Cheltenham.)
You are very near to the Learning About Dogs team around Malvern. I would strongly recommend their excellent courses. Check out: www.learningaboutdogs.co.uk (Click on Shop and then you will see all their courses.)