Its so interesting what people think about this scene, also the symbolism and about the music. I have thought about this scene also, and i think that apart from 'bigger' symbols that the sheep might represent, there is one wich is related to the story and about Ennis his experience with 'gay things'.
Like we know, he saw the awful thing about the murderd man when he was nine. So from that point in his young life he thought: when you are gay, your ending is bad, nothing good will happen etc.. He related 'gay' with violence and dead. The first thing he saw after his experience with Jack was: a dead sheep. I think that this scene in the movie was to express this link, wich comes up again with the ending of Jack ( when Ennis is on the phone with Lureen, the pictures he sees in his mind? About Jack beaten up.) and wich is of big influence about the whole story.
Also, this scene expresses guilt feelings about what he has done that night, beeing away and not take responsibility for the sheep. And maybe also in this way: like if you are babysitting your sister, and a friend ask you: come on there's a great party, lets go! Well, you are feeling: i can;'t go, something will happen to my sister, but you are pursuaded and you go to the party. When you come back, your sister fall from the stairs or something... (yaiks). That kind of feeling may be also represented. And again, if Jack is really killed by gay beaters, than this 'fore feeling' of Ennis was right.
I think this scene is very important for the story. It is not a happy one, but it is representing so much. Sorry i have brought up such an old topic again, but i wanted to add this.