How can I thicken margaritas?
If the restaurant or bar is using a margarita mix, they frequently contain additional syrups and stabilizing gums or starches which add body to the drinks. It could also be that the high powered blenders frequently used in bars will be better at creating a smoother and thicker texture, or a more 'emulsified' slush.

If you want to try making it thicker at home, the agave nectar is a good start. You could also try adding very small amounts of food gums, like guar gum or gum arabic. It may also help to chill all of your ingredients thoroughly before blending to keep it as frozen as possible.