Like Bobblehead said, you just never know. Last year, I had every intention of going hitter hitter w/ my first two picks. I took Pujols w/ the #2, and then when #23 rolled around, I had to take the Big Unit. With my 3rd rounder, #26, I grabbed Gagne. So, it's one thing to have a plan, and it's another to execute on that plan. I was able to grab Abreu on the way back, so that was slightly nice!
I will usually try to grab a stud starting pitcher in one of the first 3 rounds, and getting 1 or 2 second tier starters by round 10.
I virtually never grab a stud closer, generally waiting until round 9 to begin thinking about saves, then fill out the saves category with cheap closers, and the new closers that emerge during the season.
I try to get my ace in one of the first 3 rounds.
I'm usually last in my league to grab a closer, about round 10. (Last year it was FCordero, the year before it was Foulke... seems to work out). Then, like Cowmatt, fill in with lower-tier options and FA pickups.