It depends. I'm pretty ambivalent when it comes to comics. I go for the character that fights for something he believes in, whether he's the protagonist or antagonist. For example, in X-Men I root for Magneto, because I believe in his ideals; one of the reasons I love Watchmen is for the character development.
To sum it up, I root for the anti-hero if I believe in his ideals and if the writer does him justice. Other than that, i'm pro-hero.