Yes, if you're looking for REOs from small, local banks, most of them will be happy to talk to you directly, and if you give them reason to believe you're a serious buyer, you can probably get added to their marketing list for when future properties become available.
Oftentimes, the small, local banks are happy to sell their REO inventory before they get listed with an agent (in fact, at least in my area, most inventory from small banks never makes it to the MLS).
This won't work for the larger regional banks or the national banks, though. For those, stick with the listing agents...