Well, I am now an official Alice Cooper fan! He Rocks!!!!
There's a few Conservative rockers out there--and they tend to be the harder-rocking guys, such as:
Ted Nugent
Alice Cooper
Sammy Hagar (and presumably the rest of Van Halen)
James Hetfield of Metallica (Lars Ulrich is a liberal wuss though from what I hear)
C.C. DeVille, the on-again-off-again guitarist of Poison (that one really surprised me!)