Have a look at a great Flash site I was shown recently:
http://www.parapluesch.de/
This game is fun:
Ben Davis' Sheep 2
And this one too:

 
This site is fun: 

 And this one is too:
http://www.shagthesheep.com

A sheep herding game can be found here
Thanks to headbones on the Llamasoft forums for the link.

Click here to see some interactive sheep!
 Thanks to Insane Tools for the sheep
Insane Tools web site

You will need the Flash Player installed for both of these.
Go to Macromedia site downloads

Click here (or on the link at the top of the page) to play a sheep game!
 

 
Thanks to David Lewis for the Sheep Game
Find out more at his site:  http://www.david-lewis.com/