Do you have to pay the 2-gold out-of-House penalty when bringing a card from another House out of shadows (since all non-neutral shadow cards are House X only, it's possible only with the City of Shadows agenda), or is the 1-gold penalty from the agenda the only one applicable?

Let's say, for example, that I'm running a House Stark deck with City of Shadows and want to bring a Venomous Blade (cost s0, House Martell only) out of shadows. Do I need to pay 1 or 3?

You only pay the OOH gold penalty when you play a card. Bringing a card out of Shadows is a "put into play" effect, so the OOH gold penalty does not apply. Only the penalty imposed by the Agenda applies.

Thanks for the answer.