Agility isn't so much important as just stupidly useful. On top of reducing your run energy drain by a fairly substantial amount by ~level 70, it cuts most journey times down by up to a half.
If you want to train agility:
- Use the highest agility course you can reliably succeed on. This generally means Ape Atoll from 60 onwards, given that you'll fail one in five laps or so. The others I'm not so sure about.
- Use a busy world, or find a friend. Solo agility is dull, but constantly racing someone around a track makes it slightly more interesting. If you're really bored, then use a stopwatch and time yourself, trying to better your laptime each round.
- Use any boost available. Skoll boots if possible, but otherwise the penance horn cuts a lot of time off the skill provided you are willing to take part in BA, which, in my opinion, is too tedious to make it worthwhile, bit like SC ;)
So yeah, it will always be a boring skill given that it is repetitive and click intensive. However, 70-77 on Ape Atoll took me around 3 days with a few hours each day, which isn't really that much when you think about it. Plus, at 75 you stop failing Ape and can get relatively high xp rates.
Also: Never use the The Pit 'Gamble' option. In the long run it yields less experience than not gambling given that the percentages lean towards 1x and 0.5x. Unless you get really lucky it takes a while to get the trainer to call you over, and even longer to actually succeed a game, and in most cases the experience from non-gambling more or less doubles what you could have got on the course in that time.