For sheep I prefer fencing that is woven wire, NOT so much because of the sheep escaping (which they will, through the non electric part), but because of the danger of dogs, and possibly other wild predators getting in and killing your livestock. Dogs especially, are smart, they will learn how to crawl right under electric strand, or jump over it, so woven wire is best, as it provides the best 'barrier' that a dog respects. So that is my personal preference as far as fencing. Can electric work? Yes, but it has to be well maintained, and you need atleast 3 strands, 1, 2, and 3 ft off the ground, to keep the sheep from going through it. You need to mark it well, and keep all foliage off of it, otherwise the sheep will learn quickly when it is or isn't working.
Sheep can be kept with horses without problems, as long as the horses don't feel the need to chase them. Most leave them alone. If the horses don't like the sheep in their pasture, it will be best to have atleast 2 sheep so they don't get lonely, as they are herd animals.
There are many hair breeds out there, such as Barbados, Mouflon, and Kahtadon. These are sheep that shed out, so you don't have to shear; you probably would have to search out a breeder though, as you 'may not' find one at an auction. These are all pretty hardy breeds, and when raised from lamb-hood, are quite friendly; I have personal experience with Barbados, and Mouflon.
Regarding auctions, a big thing is to be warey of snotty noses, and diarrhea, because this can spell disaster. I would personally try to find a local breeder, so you ensure a healthy lamb; that way you know he's been vaccinated and wormed prior to you purchasing him. The breeder can also help you learn how to care for him.
"The ideal horseman has the courage of a lion, the patience of a saint, and the hands of a woman..."