I love goat and sheep dairy. They are much easier to digest for people with lower lactose. In fact, I heard somewhere (can't remember where) that goat milk is fairly identical in structure to human breast milk (at least when compared to cow milk)
Furthermore, goat and sheep milk have been historically (and still are to some extent) the most popular types of milk to use for dairy products across the world. Goat cheese, for example, is one of my favorite types of cheeses. Greek feta is also traditionally made with sheep's milk, and it is another great cheese!
Goat and sheep milk dairy is the healthier choice in my opinion.