Thomas Jefferson was a dedicated Anti-federalist who believed a limited government could function well as a democracy, and that a perfect society of small farmers was the ultimate goal. He found this idea difficult, though, when he became President in 1801, ironically now in charge of a Federal government.
Some historians, and anti-federalists who supported Jefferson criticize him as having been more of a Federalist than John Adams or the rest. He bought the Louisiana Territory from France even though the Constitution did not give him the power (and the $15 million price tag was twice the entire national budget), because it was such an impossibly good deal. He went to war against the Tripoli Pirates and also placed an Embargo Act on merchants that all seemed very Federalist. But he still limited the government's actions in most individuals' lives.
You could also argue that Jefferson was a bit of a snob when it came to politics. He felt that he and a few others were qualified to govern, and that the uneducated, unwashed masses should leave government to people like him. He honestly wanted to act in their best interests, but he didn't believe in true democracy when it came to their influence in elections or policy.