Please use code tags to display your code.
First off, it doesn't look like you keep your code very neat, so it will be hard to find the problem, when it could be just a simple missing variable, or space.
You also have some very unnecessary code, let's clean this up a bit.
It looks like this code will work, unless your First_Name or Last_Name fields are blank. What exactly is your problem? I thought it was putting First_Name into a table, which this code does not even attempt.
Query1 = "SELECT Last_Name, First_Name FROM tb_Employee WHERE user_type IN ('Consultant','Tech') ORDER BY Last_Name ASC"
AgentNames = "<option value= > </option>"
While NOT objRS.EOF = True
TheAgent = objRS("Last_Name") & ", " & objRS("First_Name")
AgentNames = AgentNames & "<option value=" & theagent & ">" & theagent & "</option>"