Go AL-only (I'm going to do at least one NL league). I think it's a good test of the depth of your baseball nous to play in one-league universe, especially when it's not the league you watch most of (ie the one that your own ballclub's in). Teams have strengths closer to real ML clubs, and you're left with some interesting strategy decisions: for instance, do you go with one great closer or two ok ones, as there's not enough to go around for everyone to have two or three, and do you have your non-closer RPs be guys who you think might oust a lousy closer, or who are behind good ones but will put up good ERAs and K totals?
If you're playing an AL-only, you're probably only going to have the chance to back up one or two positions with guys who play regular baseball, maybe less considering the util slots, so you have to prioritize effectively.
It also makes you keep a closer eye on the lower level guys, so you might get a better idea of who the whole-mlb sleeper candidates are the next year.
IN ONE LINE: Go AL-only as the greater scarcity of talent means more hard choices, more skill aspect, and a greater challenge.