i lived in bosnia, serbia and bulgaria, and they are crazy on the dairy in those places. bosnia is the best though, for meat (grass fed beef is normal) and for dairy. they make this amazing chese called 'Livanski Sir' - it's based on a swiss recipe for hard cheese, i would try to make something like that out of goat... unpasteurised of course.
and the rest of them... if you've never had "kaimak" - it's basically cheese before it starts to harden, like under a week old, and white cheese, like feta.
sheep is good too, for cheese especially, because it is so high in fat but goat is also very good. goat milk is the best for general nutrition, it has the highest levels of fibre and vitamin C in it.
i prefer the goat though. they are just more amusing critters and their meat is more gamey, sorta like part way towards venison. if one is milking them there is going to be boys born and they need to be castrated and raised to be slaughtered later at whatever point they make the best... like sheep and cow, probably in the second year sometime is when they are optimal greasy and textured.