Another good place to start, if you haven't already, is to pick up one of the fantasy baseball magazines floating around. The Sportings News guide is pretty good, and has articles on strategies and draft tips. They also have a lot of cheet sheats, and if you are unfamiliar with fantasy baseball, I'd recommend using one as your guide.
I got suckered
into joining a fantasy football league last year (it was okay, but I didn't enjoy it as much as fantasy baseball). Here are what struck me as some of the big differences (and why I enjoy fantasy baseball more):
-Regression to the mean. That is, you won't find very many season-long statistical anomalies (contra Brady Anderson's 50 HR a few years back). In football, you only have 16 games, so there is a lot more variance year-to-year in individual player's statistics.
-You won't get beat (or win) by fluke performances. In fantasy football I had the unfortunate experience of going up against Tommy Maddox and Burress when they combined for something like 650 yards and 9 TDs. Something like this seemed to happen every week, and it was very frustrating. Over the course of the season, 4 of the 8 teams in the league had their best weeks against me (some had their best two weeks!). In fantasy baseball, the long season makes it much more likely that the team with the best players will actually win.
-Baseball games are played almost everyday, making every morning a thrill to look at the box scores.
The advice from the other posts is good; be sure to check in here with any trade offers you get as people will try to rip you off if they smell new blood. Also, and this won't be hard, try and pick players from a variety of teams. This way you'll be checking more box scores and will be more likely to notice players not on your team who are having good seasons.
Good luck, and have fun!