It really depends on the climate of the conversation or state of mind I'm in.
National Sports? I'm a St. Louisan. Global Sports? American. (which isn't always easy

)
National Politics aside from The President? I'm a Midwesterner. I really don't give much of a fuck about New York. 9/11 and shit like that matters to me, but the governor of California? *yawn* (This is national news:
Transformer explosion rattles Manhattan - CNN.com ? Color me un-im-fucking-pressed)
Global Politics? I'm an American, but also a 'human'. Those two come in conflict sometimes.
Religion? I'm just a human.
Overall though I voted American - City. I like my city, St. Louis is my kind of town. I'm not a big fan of my state though, it can be a fucking backwards-ass red state at times. (though not as bad as most other red states at least. And we do have the river and the huge fucking lake which is fun for boating and skiing, but no ocean, which kind of sucks.)
And I definitely identify myself as an American. Parts of 'Americana' make me want to hurt people, but for the most part I like American/Western culture. It's almost 'counter-culture' to say that these days isn't it?