Is there a difference in what you look for if you're looking for cold/dry weather? We're in Washington, but were' Eastern and our climate is more like Arizona in the summer and Montana in the winter that Seattle. We have highs in the low hundreds and very, very low humidity and winters we'll generally have 12-24 inches of snow and a week or two of minus temps. But we are really dry pretty much all year round.
Cheese is definitely something we're getting into the sheep and goats for. Cheese, soap, fiber (for the sheep) and meat. Smeg already had her heart set on the Icelandic sheep. They're hardy and a primitive breed so you can do fiber, meat and milk from them. Also, a big plus is that their ram lamb finish before breeding season, so we won't have to worry about castrating as we'll have culled the flock before breeding.