No it's not for making sheep - it is one of the most effective tricks in Starcraft for speedy micromanagement.  Since I first heard of it, I have found major uses for it.   The first use: mining minerals.

At the start of the game you have 4 peons, and it is important to put them on their own cluster.  Instead of clicking one then right clicking the mineral cluster, select them all.  After you've done that, right click on the first mineral cluster.  Then, hold shift, deselect one peon, (by clicking it at the bottom of your screen where it shows the 4 peon's icons) release shift, and right click on the next cluster, and so on.  Believe me when I say that it isn't as complicated as it sounds.

Practice it alot, and you will get the hang of it.

Have you ever seen someone coming with 12 carriers, or 12 battle cruisers?  Cloning works with lockdown, psionic storm, EMP, and plague - but the best part is they don't have to be clumped together.  Here's how you do it (you're spellcaster of choice will now be referred to as casters):

Select all of you're casters and hit the hotkey (The highlit letter for each command.  L for lockdown, T for psionic storm, etc.) for you're spell of choice.  Then click on the first unit you want to hit.  Hold shift, deselect one caster, hit the hotkey for your spell and click the next unit.  If your opponent moves them apart, your casters will move to them and still cast their spell!

Seeing all of their tech units hit at once will be devastating, but you have to have reasonable distance between your casters and their units.  This technique needs alot of practice, but it is DEFINITELY worth it.