Personally I first and foremost cheer for the Nordic countries (in most sports, though in sports where Finland or Norway are rivals of Denmark and/or Sweden, not so much ). We have kind of a bond. Secondly I cheer for the players of my two favourite teams, AGF and AIK. That's the reason that I cheered for Costa Rica 4 years ago (as Celso Borges played in AIK), but that doesn't give anything this year (I think the closest would be Serbia but Aleksandar Jovanovic was left out).
After that it's mainly the style of play.
So for me, the continent (except for the Nordic) doesn't really matter though I do often end up cheering for a European team.