In my personal experience, hockey fans tend Republican whereas baseball fans tend Democratic, although I can't really beat BRTD's logic.
Soccer definitely has the most liberal fanbase though. I watched some World Cup game at a bar and the crowd erupted in cheering when Bill Clinton came on for some reason.
What we really need though is some databases and regression tests, forget this speculation.
I would guess that most hockey fans are apathetic or dem. Despite Palin trying to reach out to the hockey fan demographic, a lot of hockey fans are from Minnesota, which is a pretty democratic state
Baseball fans do have some of the stereotypical ethnic catholic in New York or Boston who is a big Yankees or red sox fans; but outside of that it is a pretty rural sport.
I’ve actually wanted to do a legitimate nationwide survey of this but I don’t have the money to conduct such a thing.
Like I said, it leans Republican in the mid-Atlantic, but IIRC Palin got booed at a Flyers game when she dropped the ceremonial puck. Again, here there are few frozen ponds and you typically need expensive ice time to play hockey here plus most of the top programs are Catholic high schools. I would say it's a tough call.