Basically, here is my problem with democracy:
A monarch (in theory) is supposed to rule in accordance with traditions and religion. He must base his decisions on them in order to remain, as we say, "legitimate".
A democratic ruler (in theory) is supposed to represent the interests of the majority of country's population. He is legitimate because he is acting in accordance with their wishes.
For democracy, this effectively means that a ruler is forced to cater to the lowest common denominator. To be successful and get re-elected he has to appease the most base qualities of his electorate: anger, fear, desire, that kind of stuff. Unpopular measures that aim at some less obvious long term benefits are met with resistance. For example, measures taken so far to preserve natural environment are frankly pathetic, because the public is not willing to even consider any limits to their consumption, and politics will not risk the fallout. I won't even mention any possible measures aimed at elevating the people ethically/spiritually in some way. They are either never considered at all, or fall into the same trap of ugly populism.
Of course in practice both positions are routinely abused. Which is why power checks are necessary, both in democracy and in monarchy. I doubt that anyone here is seriously supporting absolute monarchy, but constitutional monarchy seems like a good compromise to me. Ideally it should involve power checks both on the "higher" level (aristocracy and clergy, who should ensure monarch stays true to the guiding principles of his rule) and on the "lower" level (elected representatives from the general population, who will not allow monarch to forget the welfare of his people and will block any extreme measures).
Then we come to another sticking point of monarchism: aristocracy vs meritocracy. In a monarchy, power is inherited, and not gained through capacity/ability.
Problem is, in practice power in democracies is gained through being the most ambitious, populist, ruthless, back-stabbing and two-faced person around. In other words, through the capacity to be evil.