@maumann in his OP makes good points about the origin of loyalty being different across sports and levels. I like the Celtics because I was born at St. E's in Brighton, but I like ND football because they are the Fighting Irish.
However, I think he mistakes my comment for an either/or scenario. Yes, for must of us, the teams we root for are determined by our parents and/or place of birth. But why people ultimately care about the local 9 is because there is some continuity. Rooting for the Red Sox is special because Ted/Yaz/Rice, just like Ruth/Gehrig/DiMaggio/Mantle is special to Yankees fans. Continuity and a history are what make rooting for the local 9 special. If those things weren't there, the pashion wouldn't be as great.
Hey, Dustin Pedroia just won Rookie of the Year and the Red Sox swept the World Series. Is Pedroia going to be back with the Red Sox? fork that ship.
I think @Michael_Gee was getting at it. It's local, but there is some greater connection to a history or narrative.