My shop is in a 40 x 96 barn; shop is in the front 40 x 32 of the barn. I framed 2 x 4 walls that set in between the poles which are on 8' center. Flushed the 2 x 4 walls with the inside of the 4 x 6's. Did it on 24' centers and insulated with 6" fiberglass insulation stapled to the 2x4's and 4x6's. The walls are 7/16" roof sheathing, nailed in place (much to my chagrin, in hind site screws would be better for access). My ceiling is barn steel. It's screwed to the bottoms of the trusses, 12" of fiberglass batts on top of that with about 4" of cellulose on top of the batts.
I have an interior divider wall at the back of the shop which is framed 2 x 4, so just 3 1/2" wide batts there. Also have a slider between the back of the shop and the rest of the barn. This is framed with 2 x 4's on edge, so 3 1/2" batts there too.
My weakest point is at a 16' slider to the outside which is a typical barn door; 2 x 4's on the flat, so only 1 1/2" thick. I used 1" and 1/2" styrofoam between the horizontal stringers before sheathing the inside surface. I can see light around the door and frame at the ends as the tie-down is in the middle so the door flexes some.
I plan on adding either a 125K or 200K BTU overhead propane heater this summer, so will do some work on the 16' door. My first thought is to frame a new door with 2 x 6's on edge which will require shimming the track out from the side of the barn. Otherwise, the center of gravity will be WAY biased to the inside of the door; it'd have to be pushed out to slide it open. Will also need to add some weatherstripping to the ends to seal up the gaps, though it is a barn, not a house. Some leakage should be expected.
If you are starting with a shell and have the budget, I'd seriously consider a heated floor. I walked into a buddy's shop with one in the winter, just a WONDERFUL experience! My feet were toasty, heat rose from the floor so everything was warm, no blower to listen to or blow dust around, etc. At a minimum I'd look at getting styrofoam under the slab if one hasn't been poured yet. Otherwise, get some nice boots for winter shop use.
Have fun, if it's a comfortable shop, you'll enjoy it more in the winter. Otherwise, you'll be like me and just longingly look at the shop from our house when it's below 20F out!
Bruce