Definitely Wednesday. Naturally blue is better than red! But seriously, I've more links to that side of the city, anyone I've known from there has been a Wednesday fan, one of my favourite music groups from Sheffield are Wednesday fans. Also, they are older than we are (and older than Utd) and I prefer their ground, mascot, history, etc.
Their rivalry with the Blades would appear much more fractious than ours with the red zombies.
Its a more of a definite geographical split, like in Bristol (Rovers for me, by the way), between areas/sides of the city.
I know its said that we have more fans from the city but there are blues and reds interspersed within families and friends all around Liverpool and its surrounds (and further), and generally people just get on with it, be it friendly or tougher banter.
That's not to say it doesn't happen in Sheffield but its probably not as widespread.
Michael Palin was a strange one. He has stated that he is a Utd supporter but will support Wednesday in big matches. Something about supporting the city of Sheffield first and foremost. I can kind of get where he is coming from but in football I don't know how other Wednesday or Utd fans would see that. I would certainly never support the red zombies from across the park in any shape or form!
