Is it one of the best natural insulators? Well, that would depend on your definition of best. But it's certainly an effective insulator, and one with a commercial market.
It does have the advantage of being much more comfortable to work with than glass fibre.
I know of one installer who describes its comfort as a disadvantage too, because it's far too tempting to curl up in it for a little sleep while installing.
In Britain, it's sometimes sold as a blend of wool and recycled plastic. Others produce it as a 95% wool blend. From the pdf datasheet for that 95% blend, a 250mm layer has a U-value of 0.16 (= an R-value of 6.41)
Note that sheepswool is flammable, is biodegradable, is attractive to moths, and it does absorb water (without significantly impairing its thermal resistivity). So it will generally need treating to keep out mould and pests, and to give sufficient fire-resistance to be usable as a building material.
Its advantages (along with the comfort) also include the ability to lock in volatile organic compounds); additionally, most of the supply-chain is both self-reproducing and delicious.
And, as noted in the comments on the question, sheep are rarely farmed primarily for their wool any more, so the wool is a waste product: hence, reusing it for insulation (as long as the transport costs are not prohibitive) can improve the sustainability of sheep-farming.