The Flock are the one big happy, if slightly dopey, family. The sheep like to play and create mischief together, though it's usually Shaun and Bitzer who sort out the resulting mess.
The only known named sheep are:
Former===
As of Season 5, here are the historic flock:
Steve
Shaun's Mom
Timmy's grandparents
The flock's parents and grandparents
etc.