A shofar is typically made from a ram’s horn.
A ram is an adult male sheep, so “sheep” describes the broader animal category but “ram” is the conventional quiz answer. Jewish tradition especially prefers a curved ram’s horn for Rosh Hashanah, linking the instrument with the ram in the biblical binding-of-Isaac story.
The horn is not simply a hollow animal bone. It consists mainly of a keratin sheath surrounding a bony core; after preparation, the core is removed and the remaining sheath becomes the playable horn. Unlike an antler, which is solid bone, a horn can be hollowed out.
Rams are preferred, but they are not the only possibility in every Jewish community. Horns from other permitted bovids, including certain goats and antelopes, have also been used. Cow horns are generally rejected in halakhic practice, partly because of their association with the Golden Calf. Thus, the ram is the typical and most symbolically favored source, not an absolute description of every shofar.