What are the common heating fuels/systems in houses in your area? Gas? Oil? Wood? Heat pumps?
How do you intend to use/occupy your shop? Will you have it heated all winter at a fairly consistent temperature? Or will you just work in there now and then for a few hours at a time?
Gas and Oil can respond quickly and bring the temp up fairly fast. They may require a fuel tank on site. They require a flue. Initial cost may be high.
Wood also requires a flue and a a stove. Requires some attention during the day unless you get something like a pellet stove. Requires getting a storing wood for a traditional stove. Can respond fairly quickly. Can be "banked" for the night. Not easy to set and forget like the others. but, You can burn trash trees off your property and your scraps.
Gas, oil and wood have ignition sources that may be a hazard in the shop.
Heat pumps don't require a flue or on site storage of fuel and don't have ignition sources. But they are climate dependant. If your winters are too cold they may not work in your area. If they are functional in your area you should look into the ductless ones. They may be much more efficient than the old fashioned ducted ones. They don't respond quickly so work better where you want to turn the temp down a few degrees when you leave and up a few when you return.