Jason Waters
If I were building a shop with wood frame walls, I would put drywall (for fire reasons) over 1/2" ply with insulation behind it.

No matter what, even if you don't add heat/air, insulate any wall you cover up, it just makes sense. Run any electrical you may want too.

For the garage portion, you could start by doing the back wall (usually where the workbench is and need for outlets, etc.), and then doing a another wall every 6 months or so as time and money allowed.

Options, Options, Options