I am going to second the suggestions for wiring up your reloading shed for internet access. You may find that you want to check out some online data (cf. Hodgdon Reloading) or you may wish to check out or post something to a forum (like this one). If you have a landline, you might want to run it out to include your shed.
I would semi-agree with putting in windows. However, they can be a waste of wall space. I suggest that you look into a few small skylights like a Solatube or something like that (assuming your location isn't shaded). In any case, windows or skylight -or both- there is no better light than the one God put in the sky for us.
A gun safe might not be a bad idea. Even a small, cheaper safe (safe, not a sheet-steel cabinet) is too much for most thieves to handle. But it might be best to put in pretty robust security measures all 'round: locks on doors, bars on windows, even locks on cabinets with the powder/primer in them.
If you are looking to build a "Man Cave," sure, go ahead with the couch, TV, microwave, etc. But if you are just reloading, at most you should have a coffee maker or a mini-fridge to hold some cans of soda or some Gatorade. If you are going to eat, watch the big game, or take a nap, you have a house for that. All the extra crap is just going to take up space that should be dedicated to shooting-oriented things.
Climate control is good, in fact necessary, but make sure that you don't have a vent blowing right on your bench. Developing loads at my loading bench is difficult because a vent pours air from the heating/AC system right onto my work space, which messes with my digital scale (usually throwing it off a couple of tenths of a grain).
Finally, if you ever plan to move, think about what somebody else might want to use it for (storage, a play house for the kids, man cave, darkroom, garden shed, workshop, etc.). You may wish to have amenities to facilitate those things, just to boost resale value.
.
