Sheep come in many colours and sizes.....from 25-30kg full grown to Blue Faced Leicester (tups can weigh 120kg). Smaller ewes are easier to manage, but small sheep can have much more 'attitude' than the great big lazy sheep. Even older sheep will tame down and become 'pet' sheep if they are handled kindly.(You will know that you are fully accepted if they start to rub their heads on you.....however, those heads are hard and sheep with horns positively hurt).
With regards to shelter...depends on the breed. If they have a fine, lustrous fleece (like Blue Faced Leicester)....they cannot stand the cold/wet,shiver and shake whenever there's a frost, but those with thick wool (locally we have Welsh Mountain), laugh even at blizzards and cope with very harsh weather.
Sheep,like goats, are intelligent animals. Flock behaviour can seem stupid, but individual animals show quite sharp mental abilities. Some sheep and some goats get along fine, but, as others have mentioned, they may not. Sheep and cows generally are fine together and co-graze fields well, with the cows taking the long grass and sheep nipping short grass.
If you decide to take them, I'd worm them and check their vaccinations are up to date before letting them near any of your own animals.....but I'm sure you'll grow to love them if you do decide to have them.