The vast majority of the sheep milk in the world is made into cheese. It is considered ideal for this purpose because it has a higher percentage of solid content, and it's also used in other dairy products like yogurt and ice cream for the same reason. People who are lactose-intolerant sometimes use sheep milk as a substitute for cow’s milk, but goat’s milk is used more frequently for this purpose. Some individuals use sheep milk for making soap, and there is a movement to market it for certain nutritional benefits.
A few of the more popular cheeses that come from sheep milk include Roquefort, Pecorino, feta and Romano. The high solid content allows more cheese to be made per gallon, which makes sheep cheese much more economical. Milk from sheep also has a higher selling price than cow milk because sheep produce less milk overall, which means demand is greater.
Fresh sheep milk is not nearly as popular as the cheese, although it's available to a small extent. The fact that it can only be bought on a seasonal basis is probably one of the factors working against it. It's also probably true that the greater expense works against it as an overall replacement for cow milk.
Most experts think that people began milking sheep long before they started milking cattle. There was a time when sheep were probably the primary source of milk for most of the human race. They were the first animals people domesticated for farming, and they had many uses. Their meat could be eaten, and they produced wool, which people could make into garments. Milk was generally just another way to take advantage of sheep as a livestock animal, and once people learned to make the milk into cheese, it became even more useful because it could be preserved.
Some experts are heavily touting the potential nutritional benefits of sheep's milk. It's generally easier for human beings to digest because of the composition of the proteins and fats, and it also has more overall nutrition with more vitamins and minerals. Sheep milk contains high quantities of a special kind of acid that has been shown to reduce the risk of cancer in some studies. In addition to all these benefits, it also has a particularly high level of calcium, and the kind of fat it contains has very little effect on cholesterol.