Sheep milk does does not have as much flavor as goats milk and I think the cream level is a little lower as well. I cannot honestly give you a comparison to cows milk because I have never had whole cows milk. If you have ever had whole farm fresh goats milk compared to the stuff you can get at the store, you will understand that you can't really know what the milk of an animal taste like untill you have it fresh and whole.
Sheep milk is rich in many vitamins and minerals. It also has more cheese making properties than cows and goats milk (meaning you can make more cheese with an amount of sheeps milk than you can with cows and goats milk).
Another reason I like sheep better than goats is the fact that I never really got along with goats, they are SOOO stuborn. Sheep are more timid, and while it takes longer to tame them, once they are they will follow you like any sheep would follow a shepard. No offense to any goat lovers out there
And goats have horns and know how to use them, not too friendly with the children.