Agility in Daemonheim is used for opening certain doors and used in the Agility maze puzzle and the Lodestone power puzzle. Survivalist's potions increase Agility in the dungeons.
Agility is a lesser used skill while Dungeoneering, although a higher Agility level may help for running-based tasks. Plus, it never can hurt to have a decent level in this skill for Dungeoneering or not.