A reference by the band cake to some Christian symbolism wherein sheep are representative of teh obedient flock which needs a shepard for guidance, and the Goat which represents Ha-Satan (His name is not Lucifer, remember!) or Satan (The Adversary in Hebrew).
So teh song presents us with a dilemma: would we rather be the mindless sheep in order to receive Heaven as a reward, or would we rather be randy, individualistic goats and take what comes?