The reason I don't use closers is for the same as tec mentions.
1. Closers don't get the most high-leverage situations
2. The number of innings they pitch is limited
3. The role, as it exists in real life, is the one that is essentially there based only on a statistic (a nebulus one at that): the almighty "SAVE"
My better teams almost always have 3 sharp bullpen guys. Saves are typically scattered throughout the staff. For example, on this team:
Hardball Dynasty – Fantasy Baseball Sim Games - Richmond Barking Spiders Franchise Profile, I have four quality relievers that all could be used as the "Mr. Magic Closer". The bullpen as a whole has 46 wins and 62 saves, and no one even has 20 saves individually.
I think in real life, if the role had not evolved as it did, you'd see more bullpens constructed and used this way. In fact, I personally think the save should awarded strictly by scorer's discretion. If your "8th inning guy" comes in and stops a rally by knocking down the opposing team's best hitters, I don't think the glory stat should go to the guy coming in in the 9th with a two run lead and nobody on base needing to pull 3 outs from the bottom the order....Just my own preference.