Captain is often a tool used in the beginning to have someone have to ship their valuable resource, so that they can't trade it. It's why you don't want to just go and produce one valuable resource, because if you can't protect it with other goods, then it will become shipbound.
Trader get's pulled sometimes because it has money on it and you want to deprive the guy who can really use it, the extra cash.
Mayor you'd generally pull if you need men and nothing else is pressing. I like to pull it more when it's unbalanced, so there's more colonist profit relative to the others.
Settler is the best first pull, to get a quarry going early. After that it's more strategy dependent. The first two quarries you have are the most valuable, with value declining as you get more. Settler of course is a really good pull with a hacienda strategy, since when you pull quarries you still get a plantation, and once you've filled up your island you can take the man off of the hacienda and put him somewhere else useful.
Builder is usually just based on having enough to buy the building you need next, though sometimes you pull it to deprive someone else of getting the big building that they're only one doubloon away from.
Craftsman is the crux of the game, and Craftsman fearCraftsman fear the biggest factor.
You might want to read this great strategy guide. It's the best one I've ever seen, and it's principles actually apply to a lot of games.