Here's an elaborate solution involving trapping a skeleton that appears to work well. It seems that this setup could easily be changed to use a snowball/arrow dispenser instead of a skeleton, however the business of keeping it fueled, and firing at the right time would be an issue.
You probably would not need to take them home. You can dye your normal sheep by making dye and right-clicking the sheep while you are holding the dye in your hand. Alternatively, you have a few options:
Using a nether portal
When you hold wheat in your hands, cows, sheep, mooshrooms, and other animals (excluding pigs) will follow you. As of version 1.4, animals, mobs, etc. are able to go through a nether portal. Now, combining these two things together, you could hold wheat (or carrots for pigs) to make animals follow you through a nether portal. Now for the tricky math. Following the article here, one block traveled in the nether is equivalent to eight blocks traveled in the overworld. However, if you are too close to the original overworld portal, you will end up where you started instead of where you are supposed to be. You must travel at least 128 blocks away from where you started (in the nether, 1024 blocks in the overworld) in order to not have your nether portal link to your existing overworld portal.
Using a Minecart
You could build a minecart track from your main base to this island to allow for efficient travel. However, you would need to make a bridge for this, even though you can travel faster by Minecart. It would also be easier to transport the animals because you can shove them into the Minecart and push it.
Land Bridge
The least efficient way to transport them (in my opinion) would be to make a land bridge and hold some wheat in your hands. After that, they will follow you as you walk. However, if you switch to another item, they will stop following you. Therefore, make sure you eat some high calorie snacks before starting your journey :).
END NOTES: The best way to go would be to use wheat to guide your sheep or other animal into the Nether Portal. From there, make Minecart tracks to wherever your base is. Note that maps do not work in the Nether. If you are not in a position to do this, you could use a land bridge, but just know that it will be far less efficient.
Best Answer
Halloween - on October 31st, some mobs will have pumpkins on their heads, and may drop a pumpkin if killed.
Christmas - between 24th - 26th December, chests are reskinned to look like presents
Mobs - naming a sheep or a sheep spawn egg 'jeb_' will result in rainbow sheep (a sheep which cycles through the colours)
Mobs - naming any mob/mob spawn egg 'Dinnerbone' or 'Grumm' will make it render upside-down
April Fools - Mojang often have special jokes for 1st April, e.g Minecraft 2.0 from Apr 2013
Text for the updates/bugfix lists often includes 'Removed Herobrine' as a reference to an urban legend about the game
If you ever kill Notch himself, he drops an apple
Crash logs occassionally include tongue-in-cheek statements such as 'Don't do that again'
On the game's main menu, there is a 0.01% chance that it will say Minceraft instead of Minecraft
If the file with the list of splash text lines (the yellow text on the main menu) is deleted, it will display as 'missingno' which is a reference to the infamous glitch in the early Pokémon games.
Sources - many, many hours of Minecraft (and this wiki page)