well, some of it depends on how your league is scored, but there are some general tips you can follow....
Make a list of the top players at each position...you will see more quality at certain positions, and you can afford to wait to fill those spots while you fill the positions that aren't as deep....
Keep in mind you should have a list of the top 10 or so overall players, and if you can get one or more of them, you should do so.
The top offensive players are Todd Helton, Alex Rodriquez, Barry Bonds, Jason Giambi, Manny Ramirez....and so on...Do the same thing for pitchers...
Read up on Rookies and second year guys, you can usually find some bargains/late picks who give you great value....I am kind of a baseball nut, and when I drafted Adam Dunn last year, there was some snickering, but I stashed him on my reserve list, and when I had some OF injuries to deal with, I stuck him in late in the season and he did a great job for me...same is true with Roy Oswalt.
Also, make sure you know how your league accounts for steals...most leagues value them too much, so make sure if yours does that you get at least one good guy for stolen bases......don't draft any Rockies pitchers, perhaps Mike Hampton is worth a pick for depth, but don't depend on any of those guys for consistent wins or a good ERA....if you league gives any value to holds, don't forget about a solid middle relief/setup guy...don't draft closers too high, but make sure you get one or two legit closers...
Have fun and good luck