The first thing a team needs is solid goaltending so my first pick would be Henrik Lundqvist. My second pick would be Jarome Iginla for his leadership.
I would have a really tough time choosing between Malkin and Ovechkin, but if I had to choose right now I'd probably say Ovechkin. Second I'd go with either Lundqvist or Price.
I think it depends upon how long we are talking. If it is building for a 1-3 year run then I would start with the goaltender. If you are talking about building a team for 5-10 years then I might take the top flight forward. Anything longer than that and I would take the best young defenseman.