The best way to let your son know you support him is to tell him that you'll be proud of him whether he plays football or performs in musicals. It's also important to point out that the kids picking on him are foolishly stereotyping all actors as homosexuals, but the truth is there are a lot of gay athletes and a lot of straight Broadway actors. Remind him that being involved in the arts doesn't make him gay, but that you'll love and accept him regardless of his sexual orientation.
Although no subject should be taboo between parent and child, it can be difficult to broach such a sensitive topic with your son, especially if you think he may be struggling with his sexuality. So capitalize on teaching moments when they crop up. For example, the news of some states legalizing gay marriage might be a good way to start a discussion about homosexuality or if you hear about a hate crime in your area, use it to talk about the dangers of stereotyping.
Unfortunately, it's very common for openly gay teens (and even those suspected of being gay) to have trouble in school. If your son is being bullied, offer to get involved, but respect his wishes if he asks you to stay out of it. Of course, if at any point he comes home physically injured or is threatened, you must step in to protect him.