I play in a league that uses... let's just say a lot of categories. I've pondered the same question, and come to a few conclusions.
On the hitting side, I think the high average hitters are a lot more valuable. Assuming you can't land a lot of the power hitters that hit for a high average (because there aren't many of them), the hitters that are on base a lot will end up giving better value since HRs are devalued. At the same time, since they're on base a lot, they must be hitting a lot of singles and doubles. They're available to be knocked in a lot more and score runs, and they, by definition, have higher averages and OBPs. You may lose out in HRs and RBIs, but as wrveres said, it's easier to punt some categories.
On the pitching side, it's a little more critical to get solid starters. Look at the list of pitchers that racked up CGs and you're looking at a who's-who of premier aces. I think there were something like 6-8 pitchers with more than 4 CGs last season. If you can land 2-3 of them, you're looking at putting yourself in a good position on 7 of the 8 categories. Don't concentrate too heavy on the top tier closers, since that's only one category.
When all is said and done, I'm guessing that the way to go is to start with pitching as a priority and let the mashers go to the rest of the league, and then swoop in on the guys that are on base all the time without the long-ball power. Sound good?