I have a small machine shop/workshop in my back yard.
The building has no windows, no external hardware on the "garage doors", and the only hardware on the walk-in door is the deadbolt. All the doors are visible from the kitchen, and a nearby streetlight provides adequate illumination.
I have a six foot privacy fence, but I make a point not to work on guns anywhere that is visible from the street if the doors are open. No sense in letting the local lowlifes know there might be something valuable inside.
Other than that, you need some really stout benches if you're going to have loading presses out there, at least if you form a lot of brass down from, say, .30-06 to 8.65x51 Mauser. If you plan on bullet swaging or mounting a barrel vise for action work, I'd recommend going nuts; solid core doors and angle iron, something along that line.
A friend of mine lost all his gun stuff in a fire; if you're building from scratch, it would be worth a little thought about fire resistance before you get started. My local FD will send a guy (their arson specialist; I guess he's underutilized around here) out to talk with you personally if you give them a call.
You might also want to talk to your homeowner's insurance company, to see if the outbuilding is covered under your main policy, requires a rider, or is uninsurable. This varies widely even within the same county. If the building is insured, document all your stuff photographically - digial images are almost free - burn to CD, and store the disks somewhere else, like with a relative or friend who doesn't live in the immediate area, in case of fire, flood, UFO disintegrator beams, etc.
You want LIGHT. Paint all inside walls and ceiling white, and add twice as many fixtures as you think you'll need, particularly around the walls where benches or equipment will go. I have twelve light switches in my shop; I usually wind up working at one end or the other, and can't see burning 800 watts lighting up dust bunnies 20 feet away.
Keep stuff up off the floor, six inches or so, where you can get down underneath to find the inevitable sproingy bits that make their break for freedom. Try not to put anything directly on the floor; anything that can't escape completely will hide behind or inside something else...
One idea I had, that I will probably never do, was to build a "disassembly box" sort of like a big sandblaster. I could stick an action or whatever in there, reach in with the gloves, and the inevitable ricocheting springs and itty bits that seem to vanish utterly would be contained within the box. Of course, the "stuff" has entirely filled the shop, so there's no room for such a box anyway...