Indeed, it is likely that anything approaching a closed form can be only achieved for $b=0,1,2,3,\dots$
Here's some additional information not provided in the answer (though touched upon in uranix's comment).
Writing the series as:
$$f(a,b)=a \sum_{n=0}^{\infty} \frac{(n+1)^b}{(n+1)!} a^n$$
We consider the ratio of successive terms and find by definition that for $b=1,2,3,4,5,\dots$ the series equals to a generalized hypergeometric function:
$$f(a,b)=a \cdot~{_{b-1} F_{b-1} } (\mathbf{2};\mathbf{1};a)$$
Where $\mathbf{2}=2,2,\ldots,2$ repeated $b-1$ times.
Fortunately, these functions can be expressed as polynomials (which can also be directly obtained by taking derivatives as shown by uranix and Jack D'Aurizio):
$$f(a,1)=a~e^a$$
$$f(a,2)=a~e^a~(a+1)$$
$$f(a,3)=a~e^a~(a^2+3a+1)$$
$$f(a,4)=a~e^a~(a^3+6a^2+7a+1)$$
$$f(a,5)=a~e^a~(a^4+10a^3+25a^2+15a+1)$$
And so on. The coefficients are Stirling numbers of 2nd kind, and can be found in OEIS: http://oeis.org/A008278.