The league is the big one for me, and I know it is for Liverpool too. Saw an interview with Steve Finnan (who I think they said is the only player to have played in all 4 divisions, plus the UEFA Cup and CL) last week on the premiership preview show and he was desparate to win the league, as all his team mates are. They haven't won it for a while now and he reckons that would be the big one for the fans given the choice.
I see the Champions League as something like the World Cup. Something I hope I get to celebrate winning at some point in my lifetime. Just once will do. I don't need it 5 or 6 times, if I can get to experience it once then I'll be over the moon. We had our chance last year and got to within 15 minutes of doing it. I just hope we get 1 more chance in my lifetime, although any time in the near future does not appear likely at present.
But the priority for me will always be the league. Nothing can compare to winning the title IMO. So I guess where I haven't been fortunate in the CL, I've been very lucky to experience celebrating a few Premierships (and FA Cups). Most fans get nothing for most, if not all of their lives so can't complain.