For an unbeatable team in Season mode, select the Detroit Tigers and turn "Force Trades" on. Perform the following trades. Although it does not always work, it is possible to get a 162-0 record if all the games are played well.
Jeremy Bonderman (SP) For Johan Santana (SP, NYY)
Edgar Renteria (SS) For Derek Jeter (SS, NYY)
Brandon Inge (3B) For Alex Rodriguez (3B, NYY)
Create one SP and one 1B and set the Attribute Points all the way up. Drop Carlos Guillen for the 1B. Drop Kenny Rogers for the SP.