Goats are friendlier and easier to handle, but harder to keep confined, so good fencing is a must. Sheep can be skiddish and erratic and prone to just running. I've had both, I have goats now, all boys for pets.
Goats should milk easier than sheep based on teat shape, and goats will give more milk.
Both have a temperamental digestive system so knowledge of proper feed is a must, as they can die easily from bloat, acidosis, and over eaters.
Both need companionship from their own species, so get at least two at a time.
Just a few points.