I have had goats for many years ......at the moment I have an British Alpine entire billy, an entire pygmy billy, 5 pygmy goats, two Anglo Nubians and a sannan. I have a pet shetland castrated tup who shares the field with some of the goats and the llama, and he sleeps in the stable with one of the ponies. He gets bossed by the goats, but seems to get on with them all.
Goats and sheep need good fencing, they are good at escaping, as James said, goats do not like the rain, so need shelter, whereas sheep are not so bothered. Also remember that if you run sheep and goats together, not to let the sheep get goat feed, as it has copper in, which is not good for sheep. I get round this by feeding sheep mix to make sure there are no accidents. I know sheep can pass illnesses and diseases on to goats, probably things goats not with the sheep would not get. I do notice that sheep bare the fields off quicker than the goats would too.
I would keep goats in a pair at least, although I have had a goat on its own, but that was hand reared, and preferred human company. Goats are happier with one of their own kind, although they get on with most other livestock..