Shaun is a sleepwalker....or, as the title puts it: a "sheepwalker." One night Shaun goes for a stroll outside the barn. The little baby notices him, begins to follow him and sounds the alarm for the rest of the flock.
They wind up - along with Bitzer, eventually, following Shaun wherever he goes. Just where he goes, and how he gets there - and more importantly to the comedy of the episode - what happens to Shaun's "followers" is all great fun. It's fact, it's amazing.
The parts that really made me laugh out loud were the some of gear the sheep accidentally picked up to wear on their heads during this adventure. Also, the clever ways in which some of the sheep save Shaun from hurting himself while he's sleepwalking. (You have to see it, to appreciate it.)