Assuming your league is standard roto and you don't distinguish between RP and SP on your rosters, I think it is critical to get at least one bona-fide closer in the draft. One that the is listed on the Cafe's closer list as stable and healthy. I don't think $25 is too much to pay for a player as consistent as Joe Nathan or as powerful as K-Rod.
Also be watching the set-up men for closers who are injury risks. Otsuka is a great choice there. If your leagues counts holds, he helps there and will pick up a few Ws and even if Gagne is available the whole season, chances are they'll let Otsuka close a game now and then to save Gagne.
Beyond that, it is always important to be watching the closer situation in MLB. I had Papelbon as a $5 keeper going into last season, but dropped him because he didn't start the season with a job. Talk about wanting to kick yourself in the ass