I can say that I'm proud to be an American, but I most definitely consider it a lucky accident of birth.
Like others, though, that doesn't mean I give my country carte blanche. We have many issues and our government needs serious work, but that won't happen until the people themselves rework their mindsets first. Whether we like to admit it or not, our government gives us what we want.
That being said, I think I would also be proud to be a citizen of many different countries, had I been born there. I've spent time in Europe, albeit 3 decades ago, and at one time considered settling in Germany. I liked it that much.