Funny you should ask... I'm playing in my first futility league this year too, and it's an absolute blast. Surprisingly, it's not just fun, but also pretty difficult.
Our league is 4x4, only 7 teams. The categories are:
Hitters: k's, gidp, cs, e
Pitchers: bb, l, hr allowed, sb against
No penalties for positive stats.
As to the best players, our league is still experimenting (so don't consider this an "expert" opinion
), but it's become clear that you're right: just like in a regular league, you want players who play every day. For hitters, I use several strategies: Primarily go for whoever will give you the most k's (Derek Lee is looking awfully good, er, bad); if that guy is slow and will get you gidp's (Jason Giambi, for instance), so much the better. Also, look for guys who play an infield position and qualify in the outfield (such as pre-injury Dmitri Young). That way, you'll raise the chance of picking up errors. If a player will also go for some steals (à la Burnitz), that's a nice bonus.
Position scarcity is similar to regular games. High-k players are plentiful at of or 1b, but there aren't too many Jose Hernandez caliber guys at ss.
For pitchers, there seem to be two main strategies so far as well: either start high bb/ip guys on weak teams, or whoever is pitching in Coors. Hampton and Chacon, for instance, are futility-studs, and guys like Helling help immensely, too. Relievers won't get you very far unless they're prone to blowing saves.
In my draft (and I'm not sure that this is the best strategy), I went for Rockies hurlers (starters) early and then filled in bats without much regard for position scarcity, since it looked as if draft strategies were very divergent anyway. Other early picks included Thome (#1), Glaus, Nomo, Branyan, Jose Hernandez, Dempster...
By the way, I've heard of getting points for bad stuff, but getting pints is an even better idea! Cheers!