I would call fat from sheep tallow rather than lard. I save the word "lard" for pig fat. Tallow is more saturated than lard, which means it is firmer or harder. Lard is partially unsaturated, which makes it softer. Both are good for cooking, although of course the flavor varies. Soap is a great use for fat that doesn't taste good.
The finest fat for baking, in my opinion, is "leaf lard" from around the kidneys of a pig. This can make a bright white fat without much porky flavor. The best fat for cooking, again of course in my opinion, is regular lard from a pig, like from rendered back fat. I tend to render lard in my oven. I will run the fat through the meat grinder, removing meat bits, and then spread it out in a wide pan. I cook it at a low temp and collect the fat multiple times. The first few pours are the whitest, and towards the end the fat has more brown color and more pork flavor. For many uses, that's just fine! The crunchy brown bits left at the end are cracklings, and great to salt and sprinkle on something, like a casserole or corn bread.
Beef tallow is also great for cooking, especially for cooking onions. French onion soup, anyone? (That's traditional - onions cooked in beef fat and then in beef broth.) More saturated fat is less likely to go rancid. Beef tallow is famous for making the best french fries, and there are stories of restaurants who never throw away their oil, just strain out the bits and keep re-using it. That's not going to work with canola oil!
I haven't had enough experience with sheep fat to comment.