My main problem with historical leagues is they can take a very long time to set up, especially if you want to import past records.
Now that said, once loaded they ARE a lot of fun...and more accurate stat wise than other games out there.
Don't necessarily write off fictional leagues though. If you think the game chooses bad cities or team names...well, you may have a point - the database is huge and the game doesn't know any better. Just change them.
Something to consider: After your league is set up, go to I think it's Options/Game Setup, then go to League Setup, then hit "Edit Ballparks." The game gives you a random ballpark...which you can modify if you don't like it or had something historical in mind...but more importantly it tries to link each team with a city (under weather). Go here and make sure the game linked them right.
While you're at it, go into Commissioner Mode if you're not already (Manager, Options) and click on the first team in your league. Then click on "Front Office." Click "Edit Financials" and again, just make sure each team is linked to the right city.
When you're ready to play ball, leave Commissioner Mode (or not, little harm done) and you're ready to go
If you go to the Dynasties threads you'll find mostly fictional leagues. The one in my sig is fictional and I'm having a blast. Good luck!