I don't know what your budget or zoning laws are but I would recommend insulating and covering the insides of the walls with something like plywood or OSB when you build the shed. The little bit of space lost is nothing compared to the ease of hanging tool racks, shelves, etc on smooth walls. It will also be easier to keep clean and light colored walls also reflect light better than bare wood. I left my shop with bare studs on the inside and regret it. Run a larger electrical service to the shop than you think you'll need.
Have a decent folding table handy. You can move outside to cut down large hides, etc when the weather permits.