There is some evidence that our ancestors bred with neanderthals (a different species), but there are no species near enough in the evolutionary tree for modern humans to breed with. (E.g. lions and tigers can interbreed - you get the liger, but cats and dogs can't)
its also got something to do with the number of chromosomes an animal has. Both parents need to have the same number or they cant recombine to produce an offspring
My mate's from Somerset: he says the sheep down there are quite amenable and don't sulk if he doesn't ring them for a couple of days. So far he's been careful not to get any of them pregnant.