I have recipes for sugar and butter cookies, but they are so sticky it's hard to roll them out and make cut outs, does anyone have a recipe that is easy to roll and doesn't stick to the counter, roller and everything it comes into contact with?

Why not simply flour the counter and roller before rolling it out, it won't affect the recipe and makes rolling a whole lot easier.

I do flour the counter, rolling pin, etc... I know we used to have a recipe for sugar cookies made with powdered sugar that was easy to roll, but have no clue whats become of it.

Try chilling the dough before trying to roll it out. I have put it in the freezer for a quick chill or overnight in the fridge.

Another question:
Do the cookies keep their shape better on the 4 sided "baking sheets" or the "no-sided" cookie sheets? Butter or shortning...which works best for cut-outs?

I use a tuperware pie mat (luv it) and of course flour. I also use a rolling pin cover, the old fashioned cloth ribbed kind, and use flour on that also.