I'm a Leafs fan, but you said no Canadian teams, so here's my less biased advice: I'd say go for proximity, but I can understand not liking Tennessee. Have you checked how far St. Louis or Columbus are from where you live? If Nashville's 5 hours away, I'm guessing you're somewhere to the east of Lexington?
If so, the Blue Jackets may actually be your closest team. Of course, they suck so maybe the Preds might start looking better. And if you're in western Kentucky, why not the Blues?
I have a friend who lived in Louisville for a time, and he used to make regular treks out St. Louis way to watch hockey. Plus they're really good right now and people have yet to start jumping on their bandwagon yet. If you really don't want to go local, my only other advice is to steer clear of the Red Wings, Blackhawks, Bruins, Penguins, and Kings.
They've all received a large number of bandwagon fans in recent years (due in part to winning the Cup) and you'll probably be treated as just another bandwagoner if you try to talk to longer-term fans.
The Kentucky Thoroughblades were a minor league team (affiliate of the San Jose Sharks) and played their home games in Lexington. So you could follow the Sharks and that would be fine and good. Going east, Carolina plays in Raleigh and has a pretty decent team.
You could follow Columbus in Ohio (since Ohio borders Kentucky); nobody will ever accuse you of being a bandwagon fan by following the Blue Jackets.
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