Personally I could not get the SNMP modular input to work reliably - it would often fail on complex data and getting the MIB files converted to work is a big pain. Depending on the type of device you are collecting from, MIB's are essential to get any sort of readable data.
My preferred approach is to use http://www.net-snmp.org/. Just create a standard batch/shell script using snmpwalk to collect the data. Not only can you easily test outside of Splunk, but it allows you to collect large number of different targets by just expanding your script. You then create a scripted input in Splunk to run the script on your required frequency. If can get a script working outside of Splunk, it is not too difficult to then get it working inside Splunk.