Support is only interesting if you're fighting wars near their territory or if you're actively giving carpet sieging instructions or allowing troops to attach to yours (which in my experience is a rather poor choice after you've a few mil ideas and a discipline advisor, since the AI's troops will suck compared to yours). If none of these apply they'll basically stick in their territory until a battle starts - and the latter will be over by the time they arrive.
Aggressive is a good choice if they can hold their ground in battle. Look for mil ideas. Particularly morale/discipline/combat ability NIs, Offensive, Defensive, and Quality.
Siege is a good choice for the other vassals that are close to war theaters. They'll stick to carpet sieging, with you and your aggressive vassals handling the battles. You still need to have a few mercs hold forts at their side, though - because they'll sometimes abandon sieges to participate in nearby battles.
Put the others on Defensive duty (aka rebel management) or outright Sleep mode if the war theater is really too far away from their borders and/or when they can't contribute anything useful. There's little point in having vassals try to go all the way to India from Germany if the war is basically over by the time their troops get there.
Alternatively, just set everyone to Aggressive and call it a day - you can't go wrong doing that. ;-)