Just saw this thread, so I thought I'd jump in (albeit a bit late)
I always start with the Caps (living in the DC area, I gotta go with the home team)
I've never missed the playoffs, even from year one, often making the finals in subsequent years.
I've found the biggest benefit of the Caps is the Salary Cap.
What I do in the summer is look for a top-line free agent C. I've gotten both Drury & J. Allison before. I put which ever one I get on the 1st line with Ovechkin. I put Zubrus on the 2nd line, usually with Semin. Also, if there are any other young (<31) top line players, I try to sign them.
I also try to find a pretty good RW to go on the first line. One year, Fehr tore up training camp & exhibitions, so I started him and he finished with an average 8+ rating and serious consideration for rookie of the year.
Towards the trading deadline, I also look for a very offensive forward when teams want to dump high salaries (once again, the salary cap helps). It always seems that TB wants to dump St. Louis, so I typically pick him up. I also look for a top line "defensive" defenseman to shore up the defense. I'm usually in the playoff mix at this time, so these pickups typically ensure that I'm in the playoffs. In my trades, I hardly ever trade for older (>34),high-priced talent, unless I need to "rent" a player for the year due to injuries.
I also set the settings for the first two lines to shoot early & often, with a high tempo, figuring you can't score if you don't shoot, and if you're in the offensive zone, it's very hard for the other team to score. Granted you're more prone to giving up breakaways, but with Olie in goal, and a couple of good defensemen, I usually end up in pretty good shape.
The only consistent problem I have is getting a goaltender to replace Olie in 2-3 years. I seem to always lose out on the franchise goalies during FA, and I never seem to be able to develop my own. The closest I've come is Stana, who is solid, but he really can't take over a game, so any thoughts would be appreciated.