I know that they come from different sources, but is there a reason to prefer one over the other? Are they appropriate for different tasks?
The values of manure and organic fertilizers in general, are often based on the relative amount of nitrogen (N), phosphoric acid (P) and potash (K) they contain.
Some common types of manure compare as follows (in N/P/K terms):
(Sources: Rodale's All-New Encyclopedia of Organic Gardening, An Illustrated Guide to Organic Gardening, by Sunset Publishing, and the Rodale Guide to Composting. via http://www.plantea.com/manure.htm)
Horse and cow manure are also humus-rich while sheep manure is easier to handle (http://www.vegetablegardener.com/item/2427/using-manure-to-fertilize-your-garden). Dairy cow manure is often favored over other types of fertilizer, as it is low in nutrients and can be applied in endless quantities with no detrimental side effects (http://www.lawncare.net/stay-green-with-manure-fertilizer/).
You also have to take acidity into account. Acidic manures are great for fertilizing tomatoes, but not what you want for carrots or something else, for example.
Although high in nutrients, because sheep manure is deposited in the fields, it is not mixed with straw or hay like horse or cow manure, and is therefore not as good a soil conditioner. It is also rather dry and takes longer to break down and release its nutrients. However, it has a much lower odour than either cattle or chicken manure and, as pointed out, is easier to handle.
My own soil is very light and free-draining - too light, in fact, because it dries out very quickly, requiring a lot of watering and fertilizing, and it loses nutrients much faster than a heavier soil. Having tried horse, chicken and cattle manure, I have found that the best manure for this type of soil is cattle manure, as it bulks it up and gives it more substance. Horse and chicken manure - and, probably, sheep manure - are more suitable for lightening heavy, clayey soils.