Why shouldn't you root for Italy? There are many good answers to that question, but prominent among them is one simple word: Fascism.
Yes, before the Nazi Olympics, there was the Fascist World Cup. Italy, 1934: Benito Mussolini's ruling regime hosted the Cup and won it in suspicious fashion. While the development of regional football clubs and domestic leagues had been a source of some frustration to the Fascists -- they fostered an "idiotic localism" rather than national unity -- the World Cup offered the perfect opportunity for displays of militant nationalism. Here's a summary from a review of Simon Martin's 2004 book, Football and Fascism: the National Game under Mussolini:
[T]he triumphalism which surrounded the World Cup... linked up to an imposed fascistisation of the domestic game, where players were obliged to wear fascist symbols, clubs changed their names... and players gave the fascist salute before games. Complete control of press and radio output imposed certain official versions of sporting events onto a willing public. No journalist dared to question the dodgy refereeing that helped Italy win in 1934.
Unlike Hitler's 1936 Berlin Games, however, Mussolini's Cup did not become famous in the United States as a disgusting spectacle of sport siphoned into totalitarian propaganda. In fact, it's quite the reverse -- there's not an Italy fan in the country that will refuse to brag about Italy's "four World Cups" (the second most of any country, after Brazil). Of course, two of those Cups came under Mussolini, and one came in an event explicitly organized by his Fascists to buttress their regime's strength. A soccer fan boasting about all those Italy Cups, then, is a bit like a track-and-field enthusiast waxing expansively about how his German team owned the podium in '36. Yeah... it pretty much makes you a Nazi.
All right, all right, that's totally unfair. The '30s were a long time ago! The world really fucked up back then! Even the theoretically non-fascist England team performed an unncessary Nazi salute before a game against Germany in 1938. Most Italy fans today, truth be told, are not in fact fascists.
Besides, I do think there's something bizarre about glorying in what were undeniable Fascist political triumphs. In the 1938 Cup, the Italian squad appeared in France alongside a powerful German team that featured the best players from both Germany and newly Anschluss-ed Austria. Hitler's supersquad lost, but Mussolini was again a champion. In a 1938 quarterfinal against the hosts, Italy abandoned their standard road white uniforms for conspicuous blackshirts. The political statement not lost on their opponents, or the French crowds, who booed lustily but saw their side lose, 2-1. (The Guardian recently called it "perhaps the grimmest match in the history of the World Cup.")**
Later that year, the Italian team beat Hungary in the final, 4-2. After the game, the Hungarian goalkeeper Antal Szabo noted that Mussolini had sent his players a telegram that read, "Vincere o morire!" ('win or die'). "I may have let in four goals," he quipped, "but at least I saved their lives." In reality, Il Duce's threat was really just a bit of boilerplate fascist rhetoric -- meaning something like 'victory or bust.' But even so, the persistence and plausibility of the 'win or die' legend throughout '38 said something significant about how the rest of the world saw the Italian team (not to mention how Szabo played in goal). It's a dubious sporting history to celebrate in any form.
The bottom line: Go Paraguay! Send the Fascists to bed without supper.
**If you're really curious about the political and cultural context of the 1938 France World Cup -- fascism, the Popular Front, and the evolution of bourgeois sporting culture, etc -- this essay on the event is both skimmable and interesting.