I pick hockey, no question in my mind. It's a much faster sport, and usually a lot more exciting (although, I'll admit that some teams play a very boring, non-offensive style of game, which leads to a boring game)
For those that criticize hockey for having too much fighting, try and make your way to a college hockey game. Fighting's not allowed in college hockey, you fight and you'll get thrown out for the rest of that game, plus your next game, whereas in the pros, you fight, you sit for 5 minutes, and then you can come back in the same game.
I've got a friend who's a radio broadcaster, and he's done both hockey and baseball. He says the big difference is with hockey, you have to choose your words carefully in order to be able to describe the action, with baseball, you need to be as verbose and long-winded as possible to fill all the time, or give meaningless statistics. Someone else described baseball as "5 minutes of action spread out over 3 hours"
(example statistic: "Pedro Martinez has struck out 20 of the last 30 right handed batters who wear Nike batting gloves that he's faced on cloudy tuesdays in June while playing on astroturf fields") (note: I have no idea if this statistic is true, but it's the sort of thing that I've heard from some baseball announcers)
(for those who can't skate, Lacrosse is a sport that's very similar to hockey, but can be played on land)