Theme leagues can be fun too. As Mike said, if you're a baseball fan, you can learn more about the history of teams and players by researching a few teams than you ever thought possible. For example, one of my consummate closers now is 1918 Carmen Hill. I would never even have known who he was if I hadn't take a Pirates team in one league.
It's also kind of cool to discover all the teams certain guys played for, mostly at the end of their careers, that you don't really hear about because it was only for a season or two. It's a totally different draw than HBD. If I had to loosely sum it up, I would say HBD is for the baseball enthusiast (as in, the game itself) whereas SLB is more for the baseball fan/historian in us.