Great song--as soon as I saw the name of the flash I knew it was ApologetiX.
Anyways. Good concept of the flash, good preloader. The graphics were pretty good too. What you need is diversity. All the sheep are exactly the same (give or take a size or two). Try making different lambs.
The lambs in the band was an okay idea, but it was not executed well, IMO. The sheep--er, lambs--needed to be more than just the same sheep pasted behind different instruments--they needed to have their own individual graphics suited to each instrument (eg fingers for the guitar lamb, etc.)
All in all, good ideas, good song, good flash. Some extra work couldn't been useful in it, but not bad at all, just put in the extra effort in your next flash. 6/10, 3/5.