Yes, it does seem like sheep are truly a necessity for a sheep farm. However, there are those who just hire out their services as sheep barbers, sheep butchers, sheep hair washers, yarn processors, wool processors, or even those who just rent out their land for grazing. Of all of the above, I'd be most interested in the yarn processing. Overall, though, I think it would be good to start with sheep of our own. Don't you?
But what kind? They're all so cute. (I know this is a silly reason for wanting a certain type of animal, but I'm a silly person.)
Here is a sampling of a few of the many breeds of sheep which give good wool (according to "
Storey's Guide to Raising Sheep"):
The Barbados Blackbelly
In addition to being a very sophisticated looking sheep, and having a name with great alliteration (which is very important to me), they breed twice a year and are very tolerant of heat. Hm... heat tolerance isn't very important around here.
Bluefaced Leicester 
These babies have some of the "finest longwool fleeces (56s-60s count), which is semi lustrous, with a silky handle and pencil locks." (p. 34 of Storey's Guide) Very sexy, no?
Cormo
Cormos are from Tasmania. That's cool. I wonder if they have them in the U.S.? According to the guide, they have "fine, well-crimped wool, excellent conformation, fast growth, high fertility, and the ability to thrive in areas of heavy snowfall [that's us!], severe climatic conditions [us again!], and rough terrain." (42)
Dorset
Dorsets have good wool for hand-spinning, but I think I mostly just like them for their curly horns.
Icelandic Icelandic Sheep do well on small farms, have good meat as well as good wool for hand-spinning, but most of all, they are clearly adorable. I hear they have been imported to Canada, too, so they are on our continent. Yay!
Licoln LongwoolCalled so because Abe Lincoln raised them, of course. Duh. Oh, wait. It says here... whoops. They are from Lincolnshire, England. Right. I knew that.
These ones are funny because, even though they have all that fur, they get cold easily, because their fur parts in the middle down their backs. When it rains on them, they get wet and catch a chill. Poor babies. (Those two gentleman in the picture look very impressed, don't they?)

So, minions, cast your vote! Do we need sheep? What kind of sheep do we need? Obviously, there are many more than what I just listed. I just thought I'd give a taste.