As someone who started HBD fairly recently, I'll add to knee's thoughts.
1. Completely ignore the overall ratings. There are threads about what ratings are most important. For a quick judgment about a player, the splits (vs , vs Right) are a good indicator of offense/pitching. There are just four fielding metrics (five for catchers). We're all familiar with range/glove, which work similarly to sim leagues. Arm strength and accuracy are important in determining where someone should play.
2. Among the best advice I got when starting was: Don't make any trades until you've played a season. Because player development is the key to HBD, gauging a player's value is not as simple as looking at his current ratings the way you'd look at your favorite search stats when drafting players.
3. The 40-man roster, Rule 5 draft and long-term contracts are important. Be sure you understand the Rule 5 draft, both for protecting your good prospects and for adding a player in that draft. There are long-term ramifications to adding players to the 40-man roster. And just as in MLB, contracts are guaranteed. So if you sign a guy to a 5-year, $80M contract, you can't get that money back in season 5 by releasing him.
4. Ask first, click later. Every owner in the league has an interest in your franchise being somewhat competitive, just as the Yankees are better off if the Orioles are a 70-win team than if they are, well, the Orioles. Most HBD players — including those not in this league — are extremely willing to offer advice. Check out the mentors thread in the HBD forum and use it.