My team has won everything, Seria A, Italian Cup, Super Cup, Champions League and the Inter-Continental Cup every year for the past 4. I have managed this by building a great team. Although I started off with a lot of money (using Inter), I managed to build a great affordable team:

GK:Kasper Schmeichel - Man City - 230k (Only 16 at the start of the game but within 2 seasons is amazing).
DR:Daniel Bonera - Parma - Free (Free transfer at the end of the first season).
DL:Philipe Mexes - Lyon - 3.1 million (Minimum fee release clause at the start of the game, buy him quickly or someone else will).
DC:Fabricio Coloccini - Milan - Free (Free transfer at the end of the first season).
DC:Michael Dawson - Nottingham Forest - 1 million (Contract unprotected in season 04/05).
MR:Jermaine Pennant - Arsenal - Free (Free transfer at the end of the first season).
ML:Bezoglu Emre - Inter - Free (Free transfer at end of the first season).
MC:Edgar Davids - Juventus - Free (Free transfer at the end of the first season).
MC:Jan Kristiansen - Efsberg - 1.8 million (Buy him quickly otherwise someone else will).
FC:Thierry Henry - Arsenal - Free (Free transfer at the end of the first season).
FC:Alessio Cerci - Roma - Free (Under 16 at the start of the game so is easy to sign. Will have 20 finishing before reaching 17).