While lobbying of Congress receives much attention, government agencies control key decisions. Companies extensively lobby agencies, and this contributes to increases in firm value around regulatory announcements. Lobbying on both bills and related agency rules yields 30-70% higher benefits than lobbying on bills only. Compared to lobbying of Congress: the propensity to lobby agencies and the associated benefits are concentrated on technical issues, and ‘what you know’ is relatively more important than ‘who you know’. Firms that lobby agencies experience negative abnormal returns following shocks that decrease agency power (the Supreme Court’s Chevron decision) or decrease a firm’s lobbying capacity.