(2) Curiosity. Sheep have a lot of natural curiosity, and will investigate anything new. Try not to have anything in their pasture or shelter that they can fall into, get cut on, choke on, get tangled up in, spear themselves on, break up to make sharp edges, be poisoned by (ex. poisonous plants, cow mineral blocks), etc.. Think of small children, except sheep can run faster, jump higher, and have got scratching on anything available and panicing down to a fine art. This subject (curiosity) also relates to the value in checking on your sheep regularly. It is a lot easier to deal with a few porcupine quills in the nose when the quills haven't gone in very far.
Also--livestock get out sometimes. Consider what may be outside the sheep area, such as poisonous plants in your garden or brush pile.
(3) Research. Read sheep books before you bring the sheep home and don't be shy about asking questions of people who are more experienced with sheep (realizing they might not always know the answers). A lot of being able to avoid big problems is being able to recognize little ones when they are staring at you.
Check with your local large animal vet to find out what vaccinations and wormers are recommended locally. Visit farms if possible (commercial and not). This will help you get ideas about how you'd like to set things up.
Know who the nearest large animal vet is before you bring your first sheep home. You wouldn't be the first person to bring home an unexpectedly sick and/or pregnant animal. Particularly if you don't have a large animal vet nearby, have items on hand that would be helpful in an emergency.
(5) Obvious. Don't stress pregnant sheep.
Picture: triplet ewe lambs (one is hiding behind her mother -- you can just see the top of her black head).