From a categorical point of view, sheaves are considered on a Grothendieck site. If you want to start with the general setting, I recommend the following reference in which mainly the properties of the category of sheaves are investigated.

 - S. Mac Lane, I. Moerdijk, Sheaves in Geometry and Logic: A First Introduction to Topos Theory, Springer-Verlag, 1992.

As for the application, you have to choose the desired site, e.g., that of open sets.  Of course, one of the main applications of sheaf theory in algebraic topology and differential geometry concerns cohomology theories. See, e.g.,

- G.E. Bredon, Sheaf Theory, Graduate Texts in Mathematics, Vol. 170, Springer-Verlag, 1997.

- Frank W. Warner,  Foundations of differentiable manifolds and Lie groups. Vol. 94. Springer Science & Business Media, 1983. (Chapter 5)

- L.I. Nicolaescu,  Lectures on the Geometry of Manifolds, World Scientific, 2008. (Chapter 7)



Moreover, for its applications in algebraic geometry, see e.g.,

- J.S. Milne, Lectures on Etale Cohomology, 2008.

Maybe of interest to see applications of sheaf theory to topological data analysis, see,

- J.M. Curry, Sheaves, cosheaves and applications, Ph.D. Thesis, University of Pennsylvania, 2014, Available at arXiv:303.3255v2.