I have only seen one once, and at the time I was slaughtering all animals in sight, I thought it was a pig because it was pretty dark sky at the time, and before I could stop myself there was pink wool lying on the ground Keep him safe and treasure him, he should be your precious......
I just checked wiki, there is only a 0.164% chance of pink sheep generating naturally, that's very slim. Nice find. Maybe you can wait for update when sheep produce mutton and you can always carry a piece of misfit with you. (A bit dark??...maybe)
A few minutes after 1.0.0 was released I generated a world while running aeound looking for a stronghold I saw the little thing staring at me with its wierd eyes and was like "Notch what have you done now?!"