Some sheep are more goatlike than others and I suspect hybridize more readily. With some breeds of sheep, the lines between what is 'goat' or 'sheep' -typical are very blurred, for example some sheep have beards like some goats, and hair not wool, some sheep have goat like tails rather than typical sheep tails, etc.
 
Some issues people have had with keeping both species together include of course aggression. It's interesting that WallabyOfChaos mentions a billy being likely to lose to a ram, as I've always been told the opposite is true, but there's always the exception to the rule so best to be as aware as possible of all potentialities you may encounter, and ready to counteract it. If you don't have separate paddocks to separate a billy and ram who hate each other, for example, you can be in a bit of an unfortunate position and may lose one or both.
 
Female goats in particular are pretty commonly aggressive to female sheep and may prevent them feeding or watering, or even kill some. Some will get along just fine though. Just potentialities again. What happens to some doesn't happen to all. Different breeds and family strains are more or less aggressive. Different circumstances can bring about aggression or lower it. Complete nutrition tends to soothe the savage beasts, lol.
 
My sheep and goats have always gotten along fine, though they preferred to keep to their own kind in general. 
 
In a pretty recent agricultural newspaper I read of a supposedly purebred pedigreed Merino ram who when mated to a supposedly purebred Merino ewe produced a sheep-goat hybrid, and it was subsequently determined to have been due to a billy kept in with a Merino flock five generations back. Hybrids may not show their mixed ancestry, apparently. In old historical accounts some people claimed sheep and goats hybridized frequently and with high ratios of fertile young but in other places the opposite was claimed. I personally do think there's some viable overlap between different families, like Moufflon type sheep and goats.