I don't know if I'm exactly a Monarchist per se, but as of late the lack of functionality of the American Political system has certainly shaken my faith in democracy at any rate. I can see the appeal of someone being above the fray, so to speak, whom can ensure that government remains functional.
I think I'd prefer something more along the lines of Technocracy though, such as not letting some idiot anti-science nut make decisions with regard to the EPA or the various Committees on Science, and instead vesting that decision making capacity in someone actually knowledgeable on the subject.