Sheep stick together in a herd, and what one sheep does, the others generally do. They do have a tendency to wander off alone, and aren't always good at recognizing danger. However, they can remember fellow sheep and a few human faces (see the article linked above). When a sheep has one shepherd for its whole life, it learns to recognize the voice of that shepherd (see this for a bit more on that).
The Bible often compares God to a shepherd, and his people to sheep. This was a familiar image to people living in both Old and New Testament times. King David himself was a shepherd as a boy (1 Samuel 16:11).
When Jesus was born, some of the first people to see him were shepherds (Luke 2:15-16).
Israel (Jacob) called God his shepherd. In blessing his son Joseph, he said "May the God before whom my fathers Abraham and Isaac walked, the God who has been my shepherd all my life to this day, the Angel who has delivered me from all harm--may he bless these boys." (Genesis 28:15-16)
Moses compared God's people to sheep: "Moses said to the Lord, 'May the Lord, the God of the spirits of all mankind, appoint a man over this community to go out and come in before them, one who will lead them out and bring them in, so the Lord's people will not be like sheep without a shepherd'" (Numbers 27:15-17). (Joshua became that shepherd for God's people.)
The Psalms have many references to God as our shepherd, which makes sense since David wrote many of them.
Psalm 100:3 says, "Know that the Lord is God. It is he who made us, and we are his; we are his people, the sheep of his pasture."
In Psalm 119:176 the psalmist confesses, "I have strayed like a lost sheep. Seek your servant, for I have not forgotten your commands."
And of course, the entirety of Psalm 23 is a metaphor for our life as sheep, being led by God, our shepherd. He provides everything we need, he protects us from harm, he corrects us when we stray, he is by our side through the darkest parts of life, and he will bless us to our life's end and beyond.
Several other passages in the Old Testament reference sheep and shepherds. See, for example, Isaiah 40:11 and 53:6-7 and Jeremiah 50:6.
In the New Testament, the best-known passage about sheep and shepherds is found in John 10. Not only does Jesus call himself the Good Shepherd, who lays down his life for his sheep, but he is the gate to the sheep pen--the only way into that place of safety and rest. Anyone who tries to get into the pen any way other than the gate "is a thief and a robber." (See verses 1-2, 11, 14-15 especially.)
(For other New Testament references to God as our shepherd and us as his sheep, see Matthew 2:6, 9:36, Hebrews 13:20, 1 Peter 2:25, 5:2-4, Revelation 7:17.)
Perhaps being compared to sheep isn't the most flattering comparison. But if you think about it from a spiritual standpoint, it makes sense. Without God's direction (especially through the words of Scripture) we wouldn't know where to go and what we should and shouldn't do. Without his voice calling us to follow him, we would easily be led astray by other distractions around us. (We often are distracted as it is!) God provides everything we need, protects us from harm and evil, and loves us as his children. We might not even know when we're in danger because as our shepherd, God keeps those evil things away from us.
He calls us by name, just as shepherds call their sheep. He knows all our faults and still loves us and cares for us. And when faced with the ultimate adversary--Satan--he gladly laid down his life so that we could live.
When I consider all that, being a sheep isn't so bad after all. I'll readily admit that I'm not always very bright. I make some really stupid decisions, and I often get distracted away from my Shepherd's voice. But he's always there to bring me back to the fold, to heal my wounds, and to remind me how much he loves me.
Now, on a rather humorous note... check out this video!