When my personal favourite is the favourite to win, I'm still the same with them as I would be supporting someone who wasn't the favourite to win. Even though they're the favourite, I still think there's a chance they might not win, and I still get tense.
I supported Nadia in BB5, even though she was the favourite for a long time, I still got worried that she could be beaten, and I also got worried she could be evicted even before the final, because as well as a strong fanbase she did have people who wanted her out of the house. So there was still fun in supporting her.
I normally choose my favourites at an early stage, like after the first week, and support them no matter what and defend them all the time no matter what. So even if they turn out to be the favourite, at least I had been supporting them from the start which does make it fun.