I like being a Blade. It wasn't a choice, the club chose me but I think supporting any club of United's stature is much better than being a fan of one of the biggest. I would be bored supporting Arsenal, Chelsea or Man U. Their relationship with the supporters goes as far as making tickets unaffordable and finding any way possible to squeeze an extra few quid out of them. No sense of community.
They also generally win something most of the time and pummel 90% of teams that cross their path. Yes it's nice to win but when you know you're almost guaranteed to win most of the time how can that be exciting?
At least supporting Sheffield United, Wolves, Derby, Norwich etc. keeps you intrigued. Has its ups and downs and you know they're capable of flirting with the Premier League for a while. On the flip side supporting small lower league clubs would depress me too, when they have almost 0% chance of ever reaching the second tier, never mind the top league. The second level clubs likes ours could end up in any one of the four divisions and that's one of the reasons it's so much fun.
I proudly tell people I'm a Blade. Most people that tell me what team they support usually say Chelsea or Arsenal etc. and I roll my eyes with boredom. Especially when I know that they have no connections with the area that team is from