Hello from Tennessee! Congratulations on your new property. I'm on the backyard chicken forum also, under the name TwoShepherds. We have chickens, pigs, and just got goats early this summer. I love having goats...they are higher maintenance than my other animals (it's important to monitor for parasites and trim hooves, making sure they get the right minerals, ect) but they are very rewarding.
I chose Nigerians because of the small size--the husband never volunteered to be a "farmer" and I wanted goats that I could easily transport and handle without assistance. Also they need less room and feed/hay. We have 5 acres, but fencing and labor are expensive, so I've only been able to fence a couple of acres so far. The plan is to milk someday, but they are too small to breed at the moment. They won't have the capacity of the larger goats, but everyone has different needs. I wouldn't be able to use or store gallons of milk every day. With Nigerians you have to be careful to buy from breeders who breed for dairy aspects and not just for pets.
We have 4 ft chainlink and 4 ft woven wire sheep and goat fencing with 4" squares-- young kids might slip right through the 4" squares, but we haven't had any problems with our older goats. We had to block off a space between the gate and the post that was wide enough for them to walk through, but otherwise we've been fortunate in that our goats do not seem interested in escaping
Sheep sound fun, but we don't have any. I have read that they can get along well with goats, but they have different mineral needs. I'm sure you probably know this, but you've got to keep the sheep away from copper (which goats need).