Sherry, like all alcoholic drinks made from grapes has to be supervised kosher for religious Jews (unlike alcohol from other sources which doesn't have to be made under supervision). The reasons for this are given as the same as for Kosher wine although they don't necessarily fit. But tradition is tradition.
There is one sherry that is supervised strictly Kosher under the supervision of the London Beth Din - Gonzales Byass is available in Kosher production. Note that this DOES NOT mean that it is all Kosher, but that if you look in Kosher wine shops, especially around Pesach, they will be selling this with a small logo on the label to indicate it has been made under Kosher supervision. It usually costs not significantly more than the regular production.