I saw this on a French news program today...
So, I checked the stuff out:
A 12 foot roll of 16 inch, R-19 Wool Insulation costs $40.10 at Eco Building Products. That works out to about $2.50 / sq. ft., which is pricey (see below for fiberglass comparison).
Here's a blurb from Eco Building Products on the virtues of Sheep Wool Insulation:
The manufacture of sheep wool insulation requires 90 percent less energy to manufacture than mineral wool insulation. In use, the durability and moisture control properties of wool allow for a higher level of performance and longevity, retaining its insulating properties for the life of the building.
For comparison, Google found Ace Hardware sells a roll of R19 Owens Corning Fiberglass Insulation (16" x 39 feet, 50 Sq. Ft.) for $24.99, or $0.50 / sq. ft.
Wool is naturally fire resistant and is treated with boron salts so as to heighten its vermin and insect resistance.
If I were building a tiny house, I might use this stuff on principle. For a bigger joint, I'm not so sure I could justify the price...its nice to contemplate a biodegradable insulation material though. And, farms instead of factories...but not factory farms. But, I digress.