Of the names mentioned so far:
Pam Anderson hasn't been a bit shy about her preference for a big dick. She's been quoted in numerous interviews stating her opinion, one of which is on my avatar.
Heather Locklear has discussed penis size in interviews on Howard Stern's radio show. The impetus was the fact that she was married to Tommy Lee, and the whole world's seen what he's got. I don't think she ever said anything as obvious as "I like big ones," but she never said she didn't and positively compared Sambora to Tommy rather than say it didn't matter to her. One time, she even went so far as to say Sambora has "girth."
Janet Jackson has mentioned in a published interview or two that size matters to her.
Madonna's Truth or Dare movie includes quite a few wisecracks about her leanings.
Christina Aguilera's husband thanked his parents for his good looks and large penis during a toast at one of their wedding parties. Xtina followed up in a subsequent interview saying it was true and he keeps her very satisfied.
Julia Roberts is rumored to have a strong preference among Hollywood "insiders," but has made no verifiable comments.
There's a Yahoo! group named "lovescelebrities" entirely dedicated to this stuff if one is interested in it. | 
