I'd like to recommend the blog Where We're Bound and especially the excellent post Without a Nation (partially quoted below):
I'll just say this plainly: I do not belong to a nation. I claim no national allegiance. I want to write about this because I'm tired of people assuming that we must all have such an allegiance. I was born in the U.S. but don't expect me to support the government that attempts to control it. Regarding the "War on Terror" or any other conflict, I've been asked here and elsewhere: "Don't you want your country to win?" My answer, derived from the above: I do not have a country. I do not want the U.S. to win because winning is an illusion just as the conflict is an illusion. In fact, the nations are becoming illusions, the lines blurred by the power and operations of multinational corporations.