I think there is something to team loyalty (the feeling I got from the Mavs final run beats anything I ever felt with sports before, and every Dallas team has been to a final in my lifetime, that one was special), but in the end those feelings are kind of all whatever you decide them to be. I created an artificial hella tight bond with the Finley-Dirk-Nash Mavericks, and in the realest sense possible I think it is all just in my own mind. If you have more fun cheering for who you think is the best team every year, or the cutest underdog, or if you want to root for all the teams in your state, those decisions all relatively make sense. Sports is just entertainment and you only get as psyched up as you allow yourself to believe you should get psyched up.
Also, if your team wins 5 titles in 15 years and you ever cry because they are not as good anymore, that makes you an incredible fucking baby.