Sheep in NCBI: http://www.ncbi.nlm.nih.gov/projects/genome/guide/sheep/index.html

Here is a paper that did a de novo transcriptome assembly: http://www.biomedcentral.com/1471-2164/12/158

They assembled around 14,000 transcripts. File is in the supplemental data.

I would dig around more and see if there are more transcriptome papers.

Coverage of the sheep genome is low and assembly/annotation are very preliminary. You may have difficulty finding information as precise as 3'-UTRs for many transcripts.

Here is the Ensembl species list, from where you can click through to sheep and view the preliminary display, which states:

Due to the low coverage, fragmented nature of the sheep assembly we are not planning to run a complete Ensembl gene build on it.

Everything that the NCBI databases know about sheep can be found by searching the taxonomy database, then clicking through to this page with links to other Entrez records (nucleotide, protein, SNP etc.) You might be able to do a bulk download from one of those links and parse out sequences annotated with UTRs or other features of interest.

At NCBI I ran this query

"Ovis aries"[porgn:__txid9940]

against the EST database and see that there are 338483 entries, many of these will be 3' reads (with 3'-UTR data) and others will be useful in gene assembly whether the genome is in numerous or few fragments. For this, one could compare to bovine or horse or other mammalian RefSeq sets and genome builds for confirmation of the gene models/EST assemblies.

Remember some very early work in gene/genome assembly was using EST data to assemble full-length transcript contigs.