In testimony to Congress about 15 years ago, the director of the CIA used "CIA" without the definite article, which certainly suggests that he preferred it to be referred to that way. How it is referred to by the public however is probably not up to the leaders of the CIA but rather up to the media and maybe bloggers and tweeters. Note that the American Broadcasting Corporation, the National Broadcasting Corporation, the Citizens Broadcasting Service and the Public Broadcasting Service are able to decide how they will be referred to by the public (because they have unparalleled access to the public's ear) and the have decided they'd like to be referred to without the definite article.

All that suggests that there is some advantage to being referred to without the definite article. (Perhaps the definite article has the effect of "distancing" the referent in the mind of the listener.)