There are so many different angles to look at this from. By far the most influential player of all time is Babe Ruth, I don't think many people here would really argue that.
Baseball fans tend to look at the players from the older eras with some level of nostalgia, creating a bias that no one in todays game can live up to. No one knows how Cy Young would do in todays game, but I tend to believe that he would not stack up very favorably... without digging into stats, I believe he is also the career leader in losses as well as wins.
The best baseball player of all time has to be Barry Bonds IMO. I personally don't care for the guy, and although he was a sure fire HOF'er before the steroid implications, I struggle seeing past the obvious tainted stats in his career.
5 years from now A-Rod will be hands down the best player to ever play, although staying in NY was probably the worst move of his career.