Hi emowolf2!
I used to live on a farm, and I've actually had both before, but in different situations.

We had a little pygmy goat named Lizzie for a while and she was really sweet. She'd follow us around the yard like a dog, and lick our hands and stuff. She really liked having her back scratched. You couldn't "play" with her the way you would a dog... but she was pretty smart, and very sociable with people, and it made her a lot of fun to be around.

When we had sheep, we were basically just taking care of them for some friends (since we had the pastures for them and our friends didn't). The lambs were really cute and fluffy, but they hadn't been raised by people and didn't really have any interest in us. So I'm not really sure what a human-friendly lamb might be like. They were very mischievous, though--first the lambs figured out how to escape from the field, and then the adult sheep miraculously figured out how to squeeze out the same space. Definitely make sure you have the right kind of fencing!

I doubt I'd get sheep again... especially just one, since they really are herd animals... but Lizzie was a blast and if I ever lived in another place that had enough room, I wouldn't mind adopting a couple goats. If they're social like she was, they're pretty fun.

But, I'd really recommend you research it first, as there are a lot of little details that can make a big difference--eg. if they're male or female (male sheep tend to smell awful), if you can get the right kind of fencing (sheep can and will get through regular livestock fencing), things like that. :)