We started out with sheep many years ago before we moved on to cattle. At that time sheep didn't pay much and cattle looked better. Still not sure to this day which one is "better" ...they each have their strong points and weak points.
 We went through a few different breeds before we settled on Dorsets. Used some Suffolk rams to cross on them but overall prefered straight Dorsets. I always figured the breed differences were much like the Chevy-Ford-Dodge arguments that can never be settled. I am inclined to believe that individual breeds would work better/worse at individual locations due to adaptability and tolerance to environment. I would suggest checking what breeds your local sheep producers are using and consider those breeds carefully.
Some of the issues we had with sheep were:
1. Predators. We ended up with livestock protection dogs and they did work but they are not perfect. We had no experience with using donkeys or Llamas.
2. Dealing with the wool. At that time there was almost zero market for the wool and selling the wool would just barely cover the cost of hiring custom shearers. No idea what the current wool market is at??
3. Finding custom shearers. They were few and far between by the time we ended our sheep herd.
4. We found that because we are able to handle sheep without equipment we tended to do just that and man-handling 250 head of sheep in a day leaves a person mighty tired. Get equipment.
5. As a general rule of thumb we found sheep were either alive and healthy or sick and dead. Not much in between. Because of costs and values when an individual sheep got sick it was just put down rather than spend money on vets and drugs to attempt to save it. I know people will disagree with this point and that is fine. That was just our POV.
6. The animal itself can at times be frustrating. As can all livestock....lol. We had sheep attacked by coyotes that, when found, were alive and had relatively minor injuries. We would treat them and give then drugs and two days later they would be found laying dead. It was almost like they had given up the will to live. These same creatures would lamb out in March here and little lambs not much bigger than a cat would be bouncing around outside in a snowstorm at -25 almost thumbing their noses at the weather. Basically if they are dry they are almost weather proof....a generalization of course.
7. Fences.

 If you have never worked sheep I would suggest you try and find a local sheep rancher and ask to help him out a few times doing feet, crotching ewes, lambing, shearing etc.
I was always curious about the Russian hair type sheep. Anyone have any experience or knowledge about them?
Regards,
Dave.