A ductless mini-split system. It handles both heating and cooling in one unit, mounts on the wall so it doesn't eat floor space, and runs efficiently enough to keep energy costs reasonable. For a well-insulated shed, a single mini-split covers the whole space.
For a workshop where you're in and out and don't need constant climate control, a portable space heater in winter and a fan with the doors open in summer might be all you need. It depends on how much time you're spending in there and how comfortable you want to be.
