bigngreen,
First off, I would advise you to put in for your home state. MT has the least expensive sheep tag of any state and has the largest sheep and each year you fail to draw you get a bonus point.
Wyoming issues probably more sheep tags than any state and has some nice rams. If you want to apply the dates are Jan 1-Feb 28. The cost has gone up in recent years and is now $2,266, each year you fail to draw you build a preference point or you can send them $100 for points only July 1- Sep 30. You will need around 12 points currently to have a chance to draw in most of the best units.
Idaho has some good rams and issue a quite a few tags. Idaho has Rocky and California Bighorns. Idaho does not issue any bonus/preference points, but as far as drawing a tag the odds aren't too bad compared to other states. To put in the draw you must submit $141.50 for a hunting license(non-refundable) and $1765.75 for the sheep tag.
Colorado has good sheep, they also have a preference point system. However, they do require you to send the entire tag fee of $1,829. You will receive a refund minus a minimal application fee.
Nevada has good sheep. Desert, Rocky and California. Nevada has a bonus point system. To apply for a sheep tag/bonus point you must first purchase a $142 hunting license(non-refundable). The sheep tag is currently $1200 or if you want to apply for points only the cost is $10/species. Nevada also has some big Elk and Mulies, so I always apply for them along with sheep, since I have to fork out the cost of the hunting license. Might as well get the most bang for the buck.
Arizona is better known for its Desert sheep, however they also have Rocky's. If you think you would like to hunt Desert sheep someday I would most certainly build points in Arizona, Nevada too for that matter. Like Nevada if you wish to apply for a sheep tag or bonus point you must first purchase a $151.25 hunting license. The sheep tag is currently $1,407.50 or you can purchase a point only for $7.50/specie. Here again I go ahead and build points for sheep, elk, deer and antelope.
Hope this gives you a place to start researching a few states. I try to apply for what I can afford. This year I put in for MT and point only in AZ, NV and come July 1 WY. It seems the cost just keep escalating each year, I guess you have to ask yourself; just how badly you want to hunt sheep someday. I was around your age when I had the same idea. I have the most points in WY, in about 2 years I will start to send in the big $$$ and cross my fingers. Until then I will just keep buying points.