You can hunt them off the road from Fairbanks on the Dalton Hwy. or fly in for them out of Anchorage, Fairbanks or lots of places in between. 50/50 split on that one depending on which mountain range you want to hunt and if you're lucky enough to draw a tag for the high end areas that require one, those are best done out of Anchorage but their proximity to Anc. is one reason they are by drawing. Not all sheep hunting is by draw though.
Check out some of the resources I posted in this post for more details:
http://www.huntingnet.com/forum/tm.aspx?m=3329436