Undergrad for sure. By graduate school I was married (master's) or had child(ren) (PhD), and I did not live near campus.
During my master's degree I was basically working full-time so I only went to campus for class and then left, I didn't make any friends at all. I'm sure it's different if it's Med School or Law School, especially if you go right after undergrad like most do.

My best friends 30 years later are my friends from where I went to undergrad and I've been to multiple college reunions.

I ended up going to the same school for undergrad and grad school (with time away in between). I feel much more connected to the graduate program and people I met there. Part of that I think is the culture (more like-minded people than I found in the somewhat snobby undergrad population) and part is that those are the people that I’m still regularly interacting with as a professional. I’ve also been involved with the grad school as an alumni (guest teaching classes, sponsoring internships).

In terms of rooting for sports teams, undergrad definitely had more of an influence