Yup, Chelsea always comes first. Even though I got into Milan earlier I just, over the years, have had way more opportunities to watch Chelsea as the Italian and Spanish league games are usually on at a pretty bad time for Australians, I like to stay up late but the matches are sometimes on at 5am, EPL games, depending on daylight savings, are on as early as 10:30pm.
So yeah, for me my order is Chelsea, Milan, Atletico, Dortmund, PSV, though the latter 3 are more clubs I like the most from their respective leagues as opposed to supporting them, though Atletico would be the closest, I liked them from the Fernando Torres days despite how inconsistent they were 98% of the time.
Milan I don't support as full on as Chelsea, but as I've been a fan since 1998 I cannot overlook them and just say they are a club I like as opposed to being a fan of.