Lots of good ideas, so I'll add just a couple.
My reloading room is a single car bay at the end of my 5 car garage, 12 x 25 feet. More than adequate for me. I fully insulated it and put 3/4 plywood on the walls, painted white. I can hang lots of things on that plywood. LED ceiling lights, a heavy 8 foot long maple workbench top, and an intercom to the house. Also have a NFPA rated wooden box for powder storage, and another one for primers. I have an oil filled heater that I turn on when I'm going to be out there in the winter, but it takes a while to warm up everything. So, last winter I installed a 1 x 4 board up near the ceiling and mounted 5 single light sockets on it, with 150 watt bulbs all attached to a simple wall mounted light switch. I keep the lights on in the winter and that keeps the whole shop at about 55 degrees all the time. That's wonderful when it's 5 degrees outside. Also have a small air conditioner mounted through the wall and a fire extinguisher inside.