A few reasons. Love their youth squad and investments. Just about any good player to come out of Portugal comes through Sporting (Ronaldo, Nani, Joao Moutinho, etc.)
For another, I like that they've always been the Atletico Madrid to the Porto-Benfica/Real-Barca tyranny, even if they never win championships and don't nearly have their finances.
And last, it always seems that of all the Pork Chops I meet - the cool ones are always Sportingistas.