Baseball, especially minor league (Washington Wild Things) and college (WVU).
College would have ranked higher if it were not for that spawn of Satan, the aluminum bat.
In order:
Baseball
Horse racing
Auto racing
I haven’t been to a NASCAR race in a few years, but I went all the time when I lived in NC. You get pretty good at placing the field after a while, and many tracks have a tower showing the placings that you can refer to. But half the fun is seeing if you can place the field before looking at the tower and try to indentify who’s on the move. Then you track that driver with your stop watch and see how he’s doing.
There’s no way watching the TV commentary compares to a scanner. You hear so much more on the scanner. Some teams scramble their communications, but you can still catch a lot of them. I love to hear the spotters scream out instructions.
I like most sports if i’m actually at the game. But some stand out, for different reasons:
Hockey: as others have said, it’s easier to follow the puck and the flow of the game when you’re at the arena. And the excitement is just great, especially when there’s a long stretch of pay without a whistle. (I miss hockey 
:mad: )
Australian Rules Football: you just can’t get a sense of the magnitude, the tactics, or the precision of this game without being at the ground. It’s a game of big, sweeping moves and of anticipation on the part of the players that the camera just can’t capture properly.
Cricket: while the view is no better—actually, you probably get a better view on TV—there’s nothing more relaxing than spending a day (or two, or three…) at a test match. Take a cooler with some food and drink, and sit back and enjoy the sun and the game.
Baseball: same reason as cricket, but for impatient people (:D) who only have three hours or so to spend at a game.
Soccer: in England, anyway. There’s nothing like the atmosphere of a game at Anfield or Old Trafford. And the noise of the crowd, the chants and the songs, are amazing. Also, the long sweeping moves seem so much more impressive in person than they do on TV.
Tennis: as plnnr suggests, you really get no idea of how hard the pros hit the ball until you’ve been to a live match.
Heh heh. Freudian slip.
Rodeo.
You miss a lot of the atmosphere watching it on TV. And I know a lot of the competitors on the local circuit, which isn’t televised. I’ve been to the National Finals Rodeo a couple of times, and it’s incredible in person. Sure, it’s nice to see replays and to get to see all ten days of it on TV (if I go in person, there are always some days I miss due to travelling) but it’s the whole experience that makes it worth it.
Agreed…I absolutely can’t stand MLB, and trying to watch baseball on TV is the height of boredom to me. However, First Energy Park is less than 10 minutes away, and spending an afternoon watching the 'Claws is near the top of my list of how to spend a summer day.
Plus, I’m their good luck charm. I’ve been to eight games, and seen eight Blue Claws wins. They should start paying me to go. 
Baseball. The wife and I make it a point to go to as many Dodger and Padre games as we can during the season. Chavez Ravine is my cathedral.
We also try to see as many Rancho Cucamonga Quakes games as we can fit in.
TV gets us our Cubs and Red Sox fixes. 
I love Major League Baseball in person. I don’t like the Tink! sound of aluminum bats, so I haven’t given college ball much of a chance.
Can’t wait to see the Oakland A’s take on Seattle this year. I’ll drive 6 hours to SafeCo just to see the green and gold jerseys again.