I like fantasy because it gets me to be more involved with other teams. That way, I don't feel like the visiting 25 man roster is a group of entire strangers when I'm watching a Sox game.
In terms of setting rosters, I probably look at my roster 2-3 times a week. I also don't think you necessarily have to think about it that much prior to the draft. The more research you do, the more confusing the draft process becomes.