We use wood pellets for our kitty litter. It almost eliminates order and the pesky flies don't seem to circle the box. They should work great for sheep too. We buy wood stove pellets since they are cheaper than the pellets marketed for horses.
For those living in the Land of Almonds, aka California, almond shells work really well for bedding. I was reading that when used on dairies, mastitis is greatly reduced since bacteria doesn't grow in it like other types of bedding. The sheep dairy that I was working at used them in the barns. Occasionally a shell would get caught between the toes and need to be pulled out, but it didn't happen often. The only thing with shells is that you can't sneak up on your sheep. They make a lot of crunching noise!
If you have any hullers near you, you can check for prices. Many will let you buy pickup and trailer loads. For an idea of how much prices run I've attached a link. I haven't purchased from this company since I have three hullers within 1 1/2 miles of my house but the price on almond hulls, which I buy, is the same.
http://feedservices.com/f01plist.htm
