Try and start out with a list of things that you want from your sheep, meat, easy care, rare breed, non shear, horned or polled, riduculesly cute etc. Then go along to one of the big regional shows or national smallholder shows and chat to the breeders and tick off the breeds against your list. Be warned however we all love our chosen breeds very much and believe they are the best. We are also on a mission to get other people to share our enthusiasm especially if we have stock to sell.
Think a little about the land you have and the weather in your part of the country as well as the locality of other breeders, breed clubs and show classes for your breed if you intend to show. Find a breeder locally if you can who will offer support an advice as well as links to other breeders.
Or you could choose a breed that you love and then be blind to any of its short commings.