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.