Ironically I always want the team I hate most to win it if Arsenal don't, since they're usually the favourites and are richer than Arsenal so there's no great shame in it. It'd annoy me if the favourittes (or 2nd favourites if Arsenal were the favourites) failed to win it and we still didn't win it.
So it used to be Man U, but now it's Chelsea. I don't like the idea of another team demoting Arsenal down the pecking order I suppose.