Clearly looking at sheaves on the geometric realisation gives something too far
removed from the simplicial picture. This is essentially because there are too
many sheaves on a simplex have (most of which are unrelated to simplicial
ideas). What one could do is to consider such sheaves which are constructible
with respect to the skeleton filtration, i.e., are constant on each open
simplex. This can be described inductively using Artin gluing. I think it
amounts to the following for a simplicial set $F$.

For each simplex $c\in F_n$ we have a set $T_c$, the constant value of the sheaf
$T$ on the interior of the simplex corresponding to $c$.

For each surjective map $f\colon [n] \to [m]$ in $\Delta$ the corresponding (degeneracy) map
on geometric simplices maps the interior of $\Delta_n$ into (onto in fact) the interior of $\Delta_m$ and
hence we have a bijection $T_{f(c)} \to T_c$. These bijections are transitive with
respect to compositions of $f$'s.

For each injective map $f\colon [m] \to [n]$ in $\Delta$ the corresponding map on geometric
simplices maps $\Delta_m$ onto a closed subset of $\Delta_n$. If $j\colon \Delta^o_n \hookrightarrow \Delta_n$ is the
inclusion of the interior we get an adjunction map $T \to j_\ast j^\ast T$ and
$j_\ast j^\ast T=T_c$ where $T_c$ also denotes the constanct sheaf with value $T_c$. If
$f'\colon \Delta^o_m \hookrightarrow \Delta_n$ is the inclusion of the interior composed with $f$ we can
restrict the adjunction map to get a map $T_{f(c)}=f'^\ast T \to f'T_c$ and taking
global sections we get an actual map $T_{f(c)} \to T_c$. These maps are transitive
with respect compositions of $f$'s.

We have a compatibility between maps coming from surjections and
injections. Unless something very funny is going on this compatibility should be
that we wind up with a function on the comma category $\Delta/F$ which takes
surjections $[n] \to [m]$ to isomorphisms.

There is the stronger condition on the sheaf $F$, namely that it is constant on
each star of each simplex. This means on the one hand that it is locally
constant on the geometric realisation, on the other hand that $T_{f(c)} \to T_c$
is always an isomorpism.

[Added] Some comments intended to give some kind of relation with the answer
provided by fpqc. My suggested answer is not homotopy invariant in the sense
that a weak (or even homotopy) equivalence of simplicial sets does not induce an
equivalence on the category of sheaves. This is so however if one, as per above,
adds the condition that all the maps $T_{f(c)} \to T_c$ are isomorphisms. However,
that condition is not so good as many maps that are not weak equivalences
induces category equivalences (it is enough that the map induce isomorphisms on
$\pi_0$ and $\pi_1$). This is a well-known phenomenon and has to do with the fact
the $T_c$ are just sets. One could go further and assume that the $T_c$ are
topological spaces and the maps $T_{f(c)} \to T_c$ continuous. Of course adding
the condition that these maps be homeomorphisms shouldn't be right thing to do,
instead one should demand that they be homotopy (or weak) equivalences. Again,
this shouldn't be quite it because of the transitivity conditions. We should not
have that the composite $T_{g(f(c))} \to T_{f(c)} \to T_c$ should be equal to
$T_{g(f(c))} \to T_c$ but rather homotopic to it. Once we have opened that can of
worms we should impose higher homotopies between repeated composites. This can
no doubt be (has been) done but there seems to be an easier way out. In the
first step away from set-valued $T_c$ we have the possibility of they being
instead categories. In that case the higher homotopy conditions is that we
should have a pseudofunctor $\Delta/F \to \mathcal{C}\mathrm{at}$. Even they are
somewhat unpleasant and it is much better to pass to the associated fibred
category $\mathcal{T} \to \Delta/F$. In the general case, and admitting that $\Delta/F$ is
essentially the same things as $F$ itself, we should therefore look at
(Serre) fibrations $X \to |F|$ or if we want to stay completely simplicial, Kan
fibrations $X \to F$. This gives another notion of (very flabby) sheaf which now
should be homotopy invariant (though that should probably be in the sense of
homotopy equivalence of $\Delta$-enriched categories).

sets. Another problem here is that the definition of a sheaf is relative to the grothendieck topology on the underlying site. Certainly, every presheaf is a sheaf in the chaotic grothendieck topology on a category. In general as well, simplicial sets do not in general have diagrams that describe the whole structure. This is what I meant by "in general, this is not well-defined. – Harry Gindi Mar 18 '10 at 4:55A sheaf is a contravariant functor into sets.Yes, quite, from an appropriate Heyting algebra - most often the Heyting algebra of open subsets of a given topological space. This is why I end up thinking about simplicial sets - using the nerve functor, they're an interesting way to get a topology out of a category; and I'm hoping to find interesting structures by considering sheaves on that topology. And, in order to stay combinatorial, I'm hoping to be able to construct at least a subclass of those sheaves as structures defined as functors from the diagram of the simplicial set. – Mikael Vejdemo-Johansson Mar 18 '10 at 5:06