The kosher brands that are generally available with natural sheep casing in our area are Nathan’s, Sabretts and Hebrew National.
To get the sheep casing dogs you generally need to go to a specialty store or kosher butcher.
Hebrew National is now made at the Armour plant in Quincy, Michigan by Conagra.
Nathan’s are made in the John Morell plant in Chicago, Illinois by Smithfield.
Sabretts are made by in their own plant in the Bronx by Marathon.
Of the three I have had better luck finding the Sabretts in a sheep casing which are sometimes available in regular grocery stores around here.
Also the Nathan’s natural casing are sold at the original Coney Island restaurant.
If you want a glatt kosher dog Abeles & Heymann from Hillside, NJ makes these, but I’ve only seen them skinless.
There are also smaller specialty manufacturers making natural casing dogs (Dietz, Thuman, Boarshead) but most of these aren’t kosher. European Provisions in East Brunswick also makes a great natural casing nonkosher dog.
As far as what you like, that’s a matter of taste. The sheep casing dogs IMO all seem to taste better, but that could be me psyching myself out.